Thesis etd-09052018-182135 |
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Thesis type
Tesi di laurea magistrale
Author
MASSA, DENISE
URN
etd-09052018-182135
Thesis title
Reguralisation by noise and notions of irregularity of a path
Department
MATEMATICA
Course of study
MATEMATICA
Supervisors
relatore Prof. Romito, Marco
controrelatore Trevisan, Dario
controrelatore Trevisan, Dario
Keywords
- irregularity
- regularisation by noise
- roughness
- SPcondition
Graduation session start date
21/09/2018
Availability
Withheld
Release date
21/09/2088
Summary
The purpose of this thesis is to investigate some properties that a path w may have in order to say that it regularises an ordinary differential equation (ODE)
d x_t=b(t,x_t) d t +d w_t,
in a sense that the same equation without w can show non-uniqueness.
In general, the regularisation by noise deals with the study of equations which may be not well-posed, in particular they can lack of uniqueness, but they become well-posed adding an arbitrary continuous path w, which usually is some kind of noise. A goal would be being able to quantify which and how the properties of w influence this solution,
in particular in terms of point-wise and uniform regularity.
After a detailed presentation of the problem and an overview of the most important results already known on this topic, we focus on the study of the averaging operator T^w f which
is intended to average a function f by means of the path w, which can be sampled from the law of a stochastic process. For our purposes, we concentrate on the particular case of a function w sampled according to the law of the fractional Brownian motion of Hurst index H in (0,1).
This choice has the advantage of being a simple process for which many other results about existence and uniqueness of associated SDE are available. Besides, the freedom in the choice of the Hurst parameter $H$ gives us the possibility of explore different degrees of
irregularity of the perturbation on the regularisation phenomenon.
Through the notion of (\rho,\gamma)-irregularity, we start our survey observing that the regularising properties of the ODE are strictly related to the ones of the operator T^w, which is defined in both contexts of Fourier-Lebesgue spaces and Besov spaces.
In the first case, we prove the boundedness of T^w, but in the second case that remains an open problem and we study the image of T^wf for fixed f. It turns out that the properties of T^w are strongly dependent on some quantities that involve the path w and are
sufficient to have good L^1-estimations and prove uniqueness of the solution of the ODE in the Young integral formulation.
In the second part of this thesis, inspired by this notion of (\rho,\gamma)-irregularity, we present several notions of irregularity of a path, some of which acquired from analysis and the theory of rough paths, and some others arisen in our investigation of path-by-path regularity. Thus, we introduce the SP-condition which turns out to be a more practical and
general concept because in a sense it can summarise some of the other notions, for particular values of the parameters involved.
The dissertations proceeds studying the basic properties of the following notions: (\rho,\gamma)-irregularity, scaling property, \theta-roughness, anti Hölder irregularity and SP-condition. The examination of their connected implications seems to put
the SP-condition in a privileged position among them. This could suggest that we may concentrate on a deep understanding of this condition if we want to explicate which properties a generic path w must have in order to have a good regularising effect on
an ODE.
d x_t=b(t,x_t) d t +d w_t,
in a sense that the same equation without w can show non-uniqueness.
In general, the regularisation by noise deals with the study of equations which may be not well-posed, in particular they can lack of uniqueness, but they become well-posed adding an arbitrary continuous path w, which usually is some kind of noise. A goal would be being able to quantify which and how the properties of w influence this solution,
in particular in terms of point-wise and uniform regularity.
After a detailed presentation of the problem and an overview of the most important results already known on this topic, we focus on the study of the averaging operator T^w f which
is intended to average a function f by means of the path w, which can be sampled from the law of a stochastic process. For our purposes, we concentrate on the particular case of a function w sampled according to the law of the fractional Brownian motion of Hurst index H in (0,1).
This choice has the advantage of being a simple process for which many other results about existence and uniqueness of associated SDE are available. Besides, the freedom in the choice of the Hurst parameter $H$ gives us the possibility of explore different degrees of
irregularity of the perturbation on the regularisation phenomenon.
Through the notion of (\rho,\gamma)-irregularity, we start our survey observing that the regularising properties of the ODE are strictly related to the ones of the operator T^w, which is defined in both contexts of Fourier-Lebesgue spaces and Besov spaces.
In the first case, we prove the boundedness of T^w, but in the second case that remains an open problem and we study the image of T^wf for fixed f. It turns out that the properties of T^w are strongly dependent on some quantities that involve the path w and are
sufficient to have good L^1-estimations and prove uniqueness of the solution of the ODE in the Young integral formulation.
In the second part of this thesis, inspired by this notion of (\rho,\gamma)-irregularity, we present several notions of irregularity of a path, some of which acquired from analysis and the theory of rough paths, and some others arisen in our investigation of path-by-path regularity. Thus, we introduce the SP-condition which turns out to be a more practical and
general concept because in a sense it can summarise some of the other notions, for particular values of the parameters involved.
The dissertations proceeds studying the basic properties of the following notions: (\rho,\gamma)-irregularity, scaling property, \theta-roughness, anti Hölder irregularity and SP-condition. The examination of their connected implications seems to put
the SP-condition in a privileged position among them. This could suggest that we may concentrate on a deep understanding of this condition if we want to explicate which properties a generic path w must have in order to have a good regularising effect on
an ODE.
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