Merging Rough Paths

Adding
# Rough Paths
Merging
Martin Geller
January 5, 2024
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Martin Geller Merging Rough Paths January 5, 2024 1 / 57
Table of contents
1 Notation
2 Definitions
3 Preliminary results
4 Existence of the coupling
5 Summing rough paths
Preliminaries
Defining the sum of rough paths
6 Perturbations form a tangent space
7 (p,q)-regularity of the coupling
Definitions & Hypotheses
Theorems

Notation
T ((V )): space of free tensor series over V

T (V ): free tensor algebra over V
T (n) (V ): free tensor algebra over V , truncated at level n
⌦p (V ): space of p-rough paths into T (V ).
(n)
⌦p (V ): space of p-rough paths truncated at level n into T (n) (V ).
G ⌦p (V ): space of geometric p-rough paths.
⌦am
p,✓ : space of ✓-almost p-rough paths.
4T : given a fixed T > 0, the set of pairs (s, t) 2 [0, T ] s.t. s  t.
RP: stands for ”rough path”.
ARP:D
”almost rough path”. apostroke comilla
*- # &
Presundhe
Letres
BV: ”bounded variation”. esto shace ChAGPT
.
---
mel los" , a

Definitions
Definition (Admissible Norms)
We say that the tensor powers of a Banach space V are endowed with admissible norms if the
following conditions hold:
1 For each n 1, the symmetric group Sn acts by isometries on V ⌦n , i.e.
k v k = kv k 8v 2 V ⌦n , 8 2 Sn .
2 The tensor product has norm 1, i.e. for all n, m 1,
kv ⌦ w k  kv kkw k 8v 2 V ⌦n , w 2 V ⌦m .

Definitions
We proceed with the foundational definition of a multiplicative functional, drawn
from [1].
Definition (Multiplicative Functional)

Let n 1 be an integer. Let X : 4T ! T (n) (V ) be a continuous map. For each (s, t) 2 4T ,
denote by Xs,t the image by X of (s, t) and write
0
Xs,t = Xs,t 1
, Xs,t n
, . . . Xs,t 2R V V ⌦2 ... V ⌦n =: T (n) (V ).
0 = 1 for all
The function X is called a multiplicative functional of degree n in V if Xs,t
(s, t) 2 4T and
Xs,u ⌦ Xu,t = Xs,t 8s, u, t 2 [0, T ], s  u  t.

Definitions
An important class of functions that we will consider are control functions:
Definition (Control, Def. 1.9 in [1])

A control function, or control, on J = [0, T ] is a continuous non-negative function ! on 4T
which is super-additive in the sense that
!(s, t) + !(t, u)  !(s, u) 8s  t  u 2 J
and for which !(t, t) = 0 for all t 2 J.

Definitions
Next, we define what it means to have finite p-variation, also drawing
from [1]:
Definition (finite p-variation)

Let p 1 be a real number and n 1 be an integer. Let ! : [0, T ] ! [0, +1) be a control.
Let X : 4T ! T (n) (V ) be a multiplicative functional. We say that X has finite p-variation on
4T controlled by ! if
i
i !(s, t) p
Xs,t  ⇣ ⌘ 8i = 1 . . . n, 8(s, t) 2 4T .
i
p
!
In general, we say that X has finite p-variation if there exists a control ! such that the
conditions above are satisfied.

Definitions
Now, we can define a rough path, also as per [1]:
Definition (Rough Path)

If X is a multiplicative functional of degree bpc with finite p-variation, we say that X is a rough
(bpc)
path. For shorthand, we write X 2 ⌦p (V ).
Every rough path has a unique extension into a functional with values in
the full tensor series, as the theorem below tells us:

Definitions
Theorem (Uniqueness of Extension Theorem)
Let p 1 be a real number and n 1 an integer. Let X : 4T ! T (n) (V ) be a multiplicative
functional with finite p-variation controlled by a control !. Assume that n bpc. Then there
exists a unique extension of X to a multiplicative functional 4T ! T ((V )) which possesses
finite p-variation.
More precisely, for every m bpc + 1, there exists a unique continuous function
X m : 4T ! V ⌦m such that
⇣ ⌘
1 bpc m
(s, t) 7! Xs,t = 1, Xs,t , . . . , Xs,t , . . . , Xs,t , . . . 2 T ((V ))
is a multiplicative functional with finite p-variation controlled by !. By this we mean that

i
i !(s, t) p
Xs,t  ⇣ ⌘ 8i 1, 8(s, t) 2 4T ,
i
p
!
where 0 1
1 ✓
X ◆ bpc+1
2 2 p
= p @1 + A.
r =3
r 2
We write X 2 ⌦p (V ) to say X is a multiplicative functional of degree bpc with finite p-variation

taking values
Martinin T ((V )).
Geller Merging Rough Paths January 5, 2024 9 / 57
Definitions
(bpc)
Remark (⌦p (V ) ' ⌦p (V ))
(bpc)
By Theorem 6, for each X 2 ⌦p (V ) there exists a unique extension to an element of ⌦p (V ),
i.e. a multiplicative functional of finite p-variation with values in T ((V )). Hence, we can identify
(bpc)
⌦p (V ) with ⌦p (V ) and we will use the same notation X to refer to both the truncated
(bpc)
object (in ⌦p (V )) and its unique extension (in ⌦p (V )). We will often use objects X 2 ⌦p (V )
with values in the tensor series. For example, whenever we take a product, say, Xs,u ⌦ Xu,t for
(bpc)
some (s, u) and (u, t) in 4T , X will be taken to be an element of ⌦p (V ) for the purposes of
our computations, since it is arguably simpler to take a product in T (bpc) (V ) than T ((V )).

Definitions
The following definition (Definition 4.2 in [1])) will be essential to the
focus of this work:
Definition (Almost Rough Paths (ARPs))
Let p > 1 be a real number. Let ! : 4T ! [0, +1) be a control. A function
X : 4T ! T (bp]) (V ) is called an almost p-rough path if:
1. it has p-variation controlled by !, i.e.
i
i !(s, t) p
Xs,t  ⇣ ⌘ 8(s, t) 2 4T , 8i = 0, . . . , bpc,
i
p
!
2. it is almost multiplicative, i.e. there exists ✓ > 1 such that
(Xs,u ⌦ Xu,t )i i
Xs,t  !(s, t)✓ 8s < u < t 2 [0, T ], 8i = 0, . . . , bpc.
If we want to be more specific, we say that X is a ✓-almost p-rough path controlled by !. We

will write X 2 ⌦am
p,✓ (V ) to imply that X is a ✓-almost p-rough path controlled by ! without
specifying the control !, or simply X 2 ⌦am p (V ) specifying neither the constant ✓ > 1 nor the
control !.
Definitions
We will now introduce geometric rough paths (GRPs).
Definition (Geometric rough path)

Let X 2 ⌦p (V ) for some p > 1, that is to say, X is a multiplicative functional of finite
p-variation with values in T (V ). Then X is geometric, denoted by X 2 G ⌦p (V ), if there exists
a control ! for X such that, 8" > 0, there exists some X̃ 2 ⌦1 (V ) that is also controlled by !,
and such that 8j = 1, . . . , bpc and 8(s, t) 2 4T :
j
j j !(s, t) p
kXs,t X̃s,t k" . (1)
( pj )!

Definitions
Now, we can define the embedding of a rough path over V as a rough
path over V W .
Definition (Canonical embedding of a rough path)

b and H
Let X 2 ⌦p (V ) and H 2 ⌦p (W ). Then, we define the canonical embeddings X b as
follows: (
j
b j ) = Xs,t , for ⌧ = (1, . . . , 1)
⇡G ⌧ (X s,t
0, otherwise
Likewise, for H, we set its canonical embedding Hb to be s.t

(
j
bj ) = Hs,t , for ⌧ = (0, . . . , 0)
⇡G ⌧ (H s,t
0, otherwise.
We call Xb the canonical embedding of X into ⌦p (V b the canonical embedding of H

W ) and H
into ⌦p (V W ).

Definitions
Definition (Norm such that embedding is isometric)
Let n 1. A norm on (V W )⌦n is said to make the embedding of a rough path an isometric
embedding if:
(i) for any v = ⌧ 2{0,1}n g⌧ 2 (V W )⌦n , we have that if g⌧ = 0 for all ⌧ 6= (0, . . . , 0), then
kv k(V W )⌦n = kg⌧ =(0,...,0) kV ⌦n .
(ii) equally, for any w = ⌧ 2{0,1}n g̃⌧ 2 (V W )⌦n , we have that if g̃⌧ = 0 for all
⌧ 6= (1, . . . , 1), then kv k(V W )⌦n = kg̃⌧ =(1,...,1) kV ⌦n .

Definitions
Remark (Canonical embeddings are rough paths)
Let p and q be greater than 1. Then, as per Definition 9, given any X 2 ⌦p (V ) and any
H 2 ⌦q (W ), we denote the canonical embeddings of X and H by X b : 4T ! T ((V W )) and
Hb : 4T ! T ((V W )), respectively. Assume that the norms on (V W )⌦n are both
admissible and such that the embedding of a rough path is isometric. Then, it is easy to see
that Xb 2 ⌦p (V W ) and H b 2 ⌦q (V W ). Likewise, it is easy to see that if X 2 ⌦am (V ) and
p
am b am
H 2 ⌦ (W ), then X 2 ⌦ (V W ) and H b 2 ⌦am (V W ).
q p q
Given the canonical rough path embeddings, we can define the following
product, which will be useful to us later:
Definition (X ⌦ H)
Let X 2 ⌦p (V ) and H 2 ⌦q (W ). Then, we define X ⌦ H : 4T ! T ((V W )) as follows:
8 (s, t) 2 4T ,
bs,t ⌦ H
(X ⌦ H)s,t := X bs,t ,
where Xb and Hb are the canonical embeddings of X and H into ⌦p (V W ) and ⌦q (V W ),

respectively.
Definitions b
Definition (X D )
Let X 2 ⌦p (V ). Choose any (s, t) 2 4T . Let D = {s = t0 , t1 , t2 , · · · , tn 1 , tn = s} ⇢ [s, t] be
any partition. We define
X D = Xt0 ,t1 ⌦ Xt1 ,t2 ⌦ · · · ⌦ Xtn 2 ,tn 1 ⌦ Xtn 1 ,t .

Preliminary results
Theorem (Controls are a convex cone)
Let T > 0. For any two controls ! and ! ˜ over the same interval [0, T ] and a, b 2 R+ [ {0}, the
linear combination a! + b !
˜ is a control. -
In particular, the zero function is a control. Hence, the
space given by {!|! is a control over [0, T ]} is a convex cone as a subset of the vector space of
-
-
continuous functions from T into R + [ {0}.
Lemma (Neo-classical Inequality)

For any p 2 [1, 1), n 2 N and s, t 0, Here and Hin 2010)
i n i n
n
1X spt p (s + t) p
⇣ ⌘ ⇣ ⌘  ⇣ ⌘
p i=0 i ! n i ! n
!
p p p

⑳
Preliminary results
Remark (Multinomial neo-classical inequality)
A multinomial version of the neo-classical inequality can be proven by induction. This is left as
an exercise in [1], with the left-hand side factor being 2 (r1 1) since the better bound had not
(p )
been proven until Hara˙2010:
k1 kr n
1 X x p xp (x1 + · · · + xr ) p
⇣ 1 ⌘ ··· ⇣ r ⌘  ⇣ ⌘
pr 1
k1 ,...,kr 2N
k1
! kr
! n
!
p p p
k1 +···+kr =n
for any p 2 [0, 1), r , n 2 N⇤ and x1 , . . . , xr 0.

Preliminary results
In the following Lemma, |D| := supi=1,...,n |ti ti 1| refers to the mesh of
the partition D = {tk }nk=0 .
Lemma
Let p 1 and ✓ > 1. Let X 2 ⌦am p,✓ (V ) controlled by !; i.e, X is a ✓-almost multiplicative
functional with finite p-variation (and controlled by !). Let !. Assume ⇡ j 1 (X ) is
multiplicative for some j = 1, · · · , bpc. Then, 8(s, t) 2 4T ,
⇣ ⌘j
D
lim Xs,t
D⇢[s,t],
|D|!0
j
exists. For any (s, t) 2 4T and D ⇢ [s, t], X D also satisfies the following maximal inequality:
⇣ ⌘j
D
Xs,t Xs,t  2✓ (⇣(✓) 1)!(s, t)✓ . (2)

Preliminary results
Lemma
Let p 1 and ✓ > 1. Let X 2 ⌦am
p,✓ (V ) with control !. Assume ⇡
j 1 (X ) is multiplicative for
some j = 1, · · · , bpc. If we define X̃s,t through:
8
> D )j
lim (Xs,t k = j,
<D⇢[s,t],
k
X̃s,t = |D|!0 (3)
>
: k
X k 6= j,
(j)
then we have that ⇡ j (X̃ ) 2 ⌦p (V ). That is to say, the j-th level truncation of X̃ is
multiplicative and has finite p-variation. Moreover, the p-variation of X̃ is controlled by Kj !,
where Kj is a constant.
We also have that, up to level j 1, X̃ and X coincide, i.e.
⇡ j 1 (X̃ ) = ⇡ j 1 (X ).
At the j-th level, X̃ is close to X in the following sense: 8(s, t) 2 4T ,
⇣ ⌘j
k Xs,t X̃s,t k  Kj !(s, t)✓ , (4)
where Kj is a constant that depends only j, ✓, p and !(0, T ). Finally, X̃ is also a ✓-almost
p-rough path.

Preliminary results
Theorem (Almost Rough Paths)
Let p 1 and ✓ > 1 be real numbers. Let ! : 4T ! [0, +1) be a control. Let
X : 4T ! T (bp]) (V ) be a ✓-almost p-rough path controlled by !.
(i) Then, there exists a unique p-rough path X̄ : 4T ! T (bpc) (V ) and a constant C such
that, for any j = 1, . . . , bpc and (s, t) 2 4T s.t. !(s, t) 6= 0,
i i
X̄s,t Xs,t < C !(s, t)✓ . (5)
Moreover, there exists a constant K which depends only on p, ✓ and !(0, T ) such that the
supremum above is smaller than K and the p-variation of X̄ is controlled by K !. We call S the
function that assigns an element of ⌦am p (V ) to an element of ⌦p (V ), thus S (X ) = X̄ .
(ii) The construction of X̄ is as follows: set X (0) = X , and, given X (k), set
0 1
B C
X (k + 1) = @1, lim (X (0))1 , lim (X (1))2 , . . . , lim (X (k))k , X k+1 , . . . , X bpc A . (6)
D⇢[s,t], D⇢[s,t], D⇢[s,t],
|D|!0 |D|!0 |D|!0
(bpc)
Then, we set X̄ := X (bpc) 2 ⌦p (V ) ' ⌦p (V ). Sometimes, we may write X̄ (k) when we
mean X (k), if it helps clarify that X̄ (k) is the step-k object in the construction of X̄ .

Preliminary results
Corollary
Let X and Y be in ⌦am p (V W ). Assume that there exists a control ! and a ✓ > 1 such that
for all (s, t) 2 4T , and for all j = 1, . . . , bpc:
k (Xs,t Ys,t )j k < C !(s, t)✓ (7)
where C is any non-negative constant. Then, the associated p-rough paths of X and Y as per
Theorem 17 are equal.

Preliminary results
Theorem (Existence of the coupling)
Let p 1 and > 1 p1 , and let X 2 ⌦p (V ) be a p-rough path with control !. Consider
H 2 ⌦p (W ) that satisfies, for all 1  j  bpc and (s, t) 2 T ,
j
kHs,t k  !(s, t) .
Then, the functional X ⌦ H : 4T ! T ((V W )) given in Definition 11 is in fact in
⌦am
p (V W ).
We call X H the unique associated multiplicative functional to (X ⌦ H) as per Theorem 17. We
may also write (X , H) = X H .
Remark
1 1
Let p and q be real numbers such that 1  q  p and p
+ q
> 1. Let X 2 ⌦p (V ) and
1
H 2 ⌦q (W ) with control !H . Then, setting := q
, we have that, for all 1  j  bpc and
(s, t) 2 T , j
8 j 1
9
!H (s, t) q < !H (s, t) q = 1
j
kHs,t k   max !H (s, t) q (8)
( qj )! j=1,...,bqc : ( qj )! ;
1 def
=: K !H (s, t) q = K !(s, t) (9)
✓ ◆
1
= K !(s, t) =: !
˜ (s, t) . (10)
Existence of the coupling
Theorem (Merge of signatures of two BV paths)
Let x : [0, T ] ! V and h : [0, T ] ! W be paths of finite 1-variation. Define Xs,t = S(x|[s,t] )
H = S (x, h)|
and Hs,t = S(h|[s,t] ). Set (x, h)u := xu hu . Then, 8(s, t) 2 4T , Xs,t [s,t] .

Existence of the coupling
Theorem (Existence of the coupling)
Let p 1 and > 1 p1 , and let X 2 ⌦p (V ) be a p-rough path with control !. Consider
H 2 ⌦p (W ) that satisfies, for all 1  j  bpc and (s, t) 2 T ,
j
Hs,t  !(s, t) .
Then, the functional X ⌦ H : 4T ! T ((V W )) given in Definition 11 is in fact in

⌦am
p (V W ).
We call X H the unique associated multiplicative functional to (X ⌦ H) as per Theorem 17. We
may also write (X , H) = X H .

Summing rough paths
Theorem
Let V be a vector space and A be a unital associative algebra (over a field K). For any linear
map : V ! A , there exists a unique extension ˜ : T (V ) ! A that is an algebra
homomorphism, and is given by, for a = (ak )k 0 2 T (V ),
X
˜(a) = k
(ak ), (11)
k 0
where k : V ⌦k ! A , for k 2 is the linear extension of the map defined on pure tensors, e.g.
v1 ⌦ . . . ⌦ vk 2 V ⌦k , through:
k
(v1 ⌦ . . . ⌦ vk ) = (v1 ) . . . (vk ).
For k = 1, 1 := , and for k = 0, 0 ( ) = · 1A . The extension satisfies iV = ˜|V , where

the inclusion iV : V ! T (V ) is given by, for v 2 V ,
iV (v ) = (0, v , 0, 0, . . .).

Summing rough paths
Remark
Take ˆ : V ! U linear. We can uniquely embed ˆ as a map into T (U) by considering
iU : U ! T (U) and putting := i ˆ : V ! T (U). By Theorem 22, since T (U) is a unital
associative algebra, we can extend uniquely to a map ˜ given by Equation (11). This map will
satisfy ˜|U ˆ
V = , since we have that, for v 2 V ,
˜|U (v ) = ˜|U (0, v , 0, 0, . . .)
V
= rU (0, ˆ(v ), 0, 0, . . .)
= ˆ,
(0, u, 0,r0,
where U .: .T 2 T!
.)(U) (U)
U to u 2 left-inverse
is the U. In particular,
of iU , we
andhave that
hence a = (ak )of
, forelements
maps 0 2 form
k the T (V ),
˜(a) = P k (a ), the linear map k acts on pure tensors as follows:
k
k k 0
(v1 ⌦ . . . ⌦ vk ) = (v1 ) ⌦ . . . ⌦ (vk )
= (0R , ˆ(v1 ), 0V ⌦2 , 0V ⌦3 , . . .) ⌦ . . . ⌦ (0R , ˆ(vk ), 0V ⌦2 , 0V ⌦3 . . .)
= (0R , 0V , 0V ⌦2 , . . . , 0V ⌦(k 1) , ˆ(v1 ) ⌦ . . . ⌦ ˆ(vk ), 0V ⌦(k 1) , . . .)
= iU ( ˆ(v1 ) ⌦ . . . ⌦ ˆ(vk )). (12)

Summing rough paths
Theorem
Let ˆ : V ! U be a linear and continuous map and let k : V ⌦k ! U ⌦k be the map defined in
Equation 12. Equip V ⌦k with the projective norm and U ⌦k with an admissible norm.
Then, k is continuous. Moreover, if k ˆk1 is the constant that gives the boundedness of ˆ,
then k ˆkk1 (i.e. the k-th power of k ˆk1 ) satisfies, for all ṽ 2 V ⌦k , k (ṽ )  k ˆkk1 kv kproj. .
Theorem
Let A and X be algebras over a field, and let IA ⇢ A and IX ⇢ X be two-sided ideals. Consider
the quotient algebras B = A/IA and Y = X /IX . If there exists an algebra homomorphism
: A ! X such that (IA ) ✓ IX , then there exists an induced algebra homomorphism
: B ! Y defined by
(a + IA ) = (a) + IX
for all a 2 A. This homomorphism respects the algebraic operations of addition,
multiplication, and scalar multiplication in the quotient algebras B and Y .

Summing rough paths
Remark
Consider the case where A = T (V ) and X = T (U) are algebras of formal power series over
vector spaces V and U, respectively. Let IA = T (n) (V ) := T (V )/BnV and
IX = T (n) (U) := T (U)/BnU , where BnV = {a = (a0 , a1 , . . .) 2 T (V ) | a0 = . . . = an = 0} and
similarly for BnU .
Given an algebra homomorphism ˜ : T (V ) ! T (U), we can associate it with a homomorphism
from T (n) (V ) to T (n) (U). Since this association is well-defined, we can consider ˜ as acting on
the simplest representatives of an equivalence class in T (n) (V ). Specifically, for any
(a0 , . . . , an ) 2 T (n) (V ), we can define the induced map ˜
˜ as:
n X
˜
˜(a0 , . . . , an ) = ˜(a0 , . . . , an , 0, 0, . . .) = k
(ak )
k=0
˜ = ˜ despite the
where k denotes the k-th component of the homomorphism ˜. We will write ˜
abuse in notation.

Summing rough paths
Theorem
Let X 2 ⌦p (V ), i.e. X is a p-rough path, be controlled by !X . Let H 2 ⌦p (V ) satisfy
def e
Condition 1 (Equation (??)). Then their sum X H = +(X e , H) is itself a p-rough path.

Perturbations form a tangent space
Remark
j
The qj in Condition 2 satisfies that qj < j + 1, if j  bpc 1. To see this, note that if =: qj
1 1 p pj
then qj = ·j < 1 ·j = p 1
· j and p 1
 j + 1 , pj  pj + p j 1 , j + 1  p. By
1 p
hypothesis, we know that j  bpc 1p 1, which means that j + 1  p holds. Thus,
qj < j + 1.
Definition (Associated Lie algebra functionals)

Take an H 2 ⌦p (V ) satisfying Condition 2. Then we can define its associated Lie algebra
functionals, denoted I H = I , in a recursive manner:
Ist0 ⌘ 0 ; Ist1 ⌘ Hst

1
Istj+1 ⌘ Istj+1 Extqi (1, ..., H j )j+1

st for j = 1, ..., bpc 1. (13)

Lemma
Let m 0 be an integer. Let X , Y : 4T ! T (m+1) (V ) be two multiplicative functionals which
agree up to the m-th degree, that is, such that ⇡m (X ) = ⇡m (Y ) or in other words such that
i = Y i for i = 0, . . . , m. Then the di↵erence function
Xs,t s,t : 4T ! V ⌦m+1 defined by:
s,t
m+1
= Xs,t m+1
Ys,t 2 V ⌦m+1
is additive, which means that for all s  u  t,
s,t = s,u + u,t .
Conversely, if X : 4T ! T (m+1) (V ) is a multiplicative functional and if : 4T ! V ⌦m+1 is

an additive function, then (s, t) 7! Xs,t + s,t is still a multiplicative functional.

Remark
Trivially, by Lemma (27), since I j+1 is the di↵erence at level j + 1 between two multiplicative
functionals that coincide up to level j, I j+1 will be an additive functional for all
j = 1, ..., bpc 1. Moreover, I 1 is additive because of what Chen’s identity implies at level 1.
Hence, I j is additive for all j = 1, . . . , bpc, i.e. I is altogether an additive functional.
Definition
Let p 1 and recall the control !X fixed at the beginning of this section. A function
I : T ! g(bpc) (V ) is said to satisfy Condition 3 if
1 I is additive, i.e., 8s  u  t Isu + Iut = Ist and
1
2 There exist >1 p
and K > 0 s.t.
||Istj ||  K !X (s, t) 8(s, t) 2 T and 8j = 1, ..., bpc (14)
bpc
bpc
3 ||Ist ||  K !X (s, t) p .

Definition (Associated perturbation)
Let I satisfy Condition 3. Then its associated perturbation H I = H is defined recursively as
follows, setting qj = j :
j+1
0
Hst 1
= 1, Hst = Ist1 , Hst = Extqj (1, ..., H j )j+1 j+1
st + Ist 8j = 1, ..., bpc 1 (15)

Remark
The H constructed by definition 15 from an I : T ! g(bpc) (V ) satisfying Condition 3 will
satisfy Condition 1, and this H will belong to ⌦p (V ). This is because, for all j = 1, . . . , bpc 1
j+1
||Hst || = ||Istj+1 + Extqj (1, ..., H j )j+1
st ||
j 1
 K !X (s, t) + K !X (s, t) qj !X (s, t) qj
1
 !X (s, t) (K + K !X (0, T ) qj )
=: K4 !X (s, t) (16)
and
by Condition 3, Item (iii) bpc bpc
bpc qbpc 1
||Hst ||  K !X (s, t) p + K !X (s, t)
bpc bpc( q 1 1)
p
 !X (s, t) p (1 + K !X (0, T ) bpc 1 )
bpc
=: K5 !X (s, t) p , (17)
for which we used that qbpc 1 k = kI 1 k  K ! (s, t)
< bpc  p by Remark 31 . Moreover kHst
1 st X

Remark (H =
HFH) -x le dejamos pero
sol la ultime pret
Take an H 2 ⌦p (X ) controlled by !X satisfying Condition 1.
M
Then, for j = 2, . . . , bpc
1
||I j ||  K !X (s, t) + K̃ !X (s, t) !X (s, t) qj 1
1
 max (K + K̃ !X (0, T ) qj 1 )!X (s, t)
j=2,...,bpc
=: K6 !X (s, t) , for j = 2, ..., bpc (18)
and ||Ist1 ||  K !X (s, t)  K6 !X (s, t) . Thus, for j = 1, ..., bpc
||Istj ||  K6 !X (s, t) .
This K6 gives Part (ii) of Condition 3 of the Lie algebra functional I associated with H.

Remark (continued)
Taking that I , we can reconstruct an Ĥ by
I Ĥ 1 = I 1 (= H 1 )
I Ĥ j+1 = Extqj (1, ..., Ĥ j )j+1 + I j+1
For an inductive argument, assume that (1, ..., Ĥ j ) = (1, ..., H j ). Can we prove that
Ĥ j+1 = H j+1 ? We recall that
I j+1 = H j+1 Extqj (1, ..., H j )j+1
The only concern is that Extqj (1, ..., H j )j+1 might be di↵erent fromExtqj (1, ..., Ĥ j )j+1 on
the following basis: we are extending (1, ..., H j ) as a qj -rough path controlled by K !X ,
but we are extending (1, ..., Ĥ j )
However, by the proof of Theorem ?? (see [1]) the construction of the extension does not
depend on the control. In fact, considering a sequence of partitions D ⇢ (s, t) with mesh
tending to zero,

Remark (continued)
Extqj (1, ..., H j )j+1 (19)

= lim (20)
|D|!0,
⇣ ⌘j+1
D ⇢ (s, t) (1, ..., H j , 0)t0 t1 ⌦ ... ⌦ (1, ..., H j , 0)tn 1 tn shadow (
We observe that, for any D = {t0 = s, . . . , tn = t}, by our inductive hypothesis,

⇣ ⌘j+1
(1, ..., H j , 0)t0 t1 ⌦ ... ⌦ (1, ..., H j , 0)tn 1 tn
⇣ ⌘j+1
= (1, ..., Ĥ j , 0)t0 t1 ⌦ ... ⌦ (1, ..., Ĥ j , 0)tn 1 tn .
Convergence on the right-hand side of Equation (19i) happens in the same space
regardless of the control, which is V ⌦j+1 closed under a norm that depends on qj but not
on the control (we will not discuss the norm on V ⌦j+1 that gives the convergence on the
right-hand side of Equation (19) within this remark). Thus, we have that

Remark (continued)
lim
|D|!0,
⇣ ⌘j+1
D ⇢ (s, t) (1, ..., H j , 0)t0 t1 ⌦ ... ⌦ (1, ..., H j , 0)tn 1 tn
= lim
|D|!0,
⇣ ⌘j+1
D ⇢ (s, t) (1, ..., Ĥ j , 0)t0 t1 ⌦ ... ⌦ (1, ..., Ĥ j , 0)tn 1 tn
= Extqj (1, ..., Ĥ j )j+1 .
Hence, given that (1, ..., H j ) = (1, ..., Ĥ j ) by inductive by hypothesis, we have that
Extqj (1, ..., H j )j+1 = Extqj (1, ..., Ĥ j )j+1 .It is then trivial to see that Ĥ j+1 = H j+1 :
...,(
(( ...,(
((
Ĥ j+1 = Extqj (1, ..., Ĥ j )j+1 +I j+1 = ( Ext( ((
qj (1, Ext(
Ĥ j )j+1 +H j+1 ( ((
qj (1, Ĥ j )j+1 .However,
the process of going from H to its associated I and back to H will not recover the
information that H was controlled by K !X . In other words, if we start with an I H , this
H
methodology will allow us to recover H = H I , but it will not tell us if H was controlled
by K !. Instead, we will obtain that H is controlled by !X times a larger constant. It is
possible that the original constant is recoverable, but we do not delve into this topic.

Theorem
The set of functionals I : T ! g(bpc) (V ) satisfying Condition 3 forms a vector space.
Remark (Perturbations form a vector space)

Take H and H̃ satisfying Condition 1. We can define its linear combination a ·T H +T b ·T H̃ by
first mapping H and H̃ to their associated Lie algebra functionals I H and I H̃ . Then, we can
consider the linear combination aI H + bI H̃ , which will satisfy Condition 3 according to Theorem
30. Then, we can map this linear combination back to a perturbation satisfying Condition 1, so
that
H H̃
a ·T H +T b ·T H̃ := H aI +bI .

(p,q)-regularity of the coupling
Definition (Definition 2.1.1 in gyurko)
Let k be a positive integer and let ⇧ = (p1 , ..., pk ) be a real k-tuple, such that pi 1 is a real
number for all i 2 {1, , ..., k}. We say that R = (r1 , ..., rl ) is a k-multi-index if 1  rj  k is an
integer for all j 2 {1, , ..., l}. The empty multi-index is denoted by " and the set of all
k-multi-indices of finite length is denoted by Ak . Since the k-tuple ⇧ determines the integer k,
in some cases we will use the notation A⇧ instead of Ak .
We define the k-multi-indices R and R by
R= (r1 , r2 , ..., rl 1 , rl ) = (r2 , ..., rl 1 , rl )
R = (r1 , r2 , ..., rl 1 , rl ) = (r1 , r2 , ..., rl 1 ).
The concatenation of the multi-indices R = (r1 , ..., rl ) and Q = (q1 , ..., qm ) is denoted by:
R ⇤ Q = (r1 , ..., rl ) ⇤ (q1 , ..., qm ) = (r1 , ..., rl , q1 , ..., qm ).
Observe that Ak contains multi-indices R of any given finite length.

Here, we are expressing
N the tensor algebra over a direct sum of k subspaces, as the direct sum
over R 2 Ak of V R .

Let k be a positive integer and let the Banach space V be the form V = V 1 · · · V k for some
Banach spaces V 1 , . . . , V k . In this case, the space of formal series of tensors of V is
equivalently represented by
1
M M
T ((V )) = V ⌦n = V r1 ⌦ · · · ⌦ V rl
n=0 (r1 ,...,rl )2Ak
For a k-multi-index R = (r1 , . . . , rl ), we introduce the notation
V ⌦R = V r1 ⌦ · · · ⌦ V rl
In general, for a vector space U = A B, ⇡A and ⇡B denote the canonical projection onto A
and B respectively, i.e. for u = a + b 2 U, such that a 2 A and b 2 B, ⇡A u = a and ⇡B u = b.
We extensively use the projection ⇡V onto the V component of T ((V )).
Let ⇡R := ⇡V r1 ⌦···⌦V rl and ⇡T ((V i )) for i 2 {1, ..., k} denote the canonical projections
⇡R := ⇡V r1 ⌦···⌦V rl : T ((V )) ! V ⌦R
Definition (Definition 2.1.2 in gyurko, continued)
⇡T ((V i )) : T ((V )) ! T ((V i )).

We also use the notation
aR := a(r1 ,...,rl ) := ⇡V r1 ⌦···⌦V rl (a).
for a 2 T ((V )), i.e. X
a= aR .
R2Ak
Given an element v 2 V and a multi-index R = (r1 , . . . , rl ), we introduce the element vR as

follows:
vR := (⇡(r1 ) v ) ⌦ · · · ⌦ (⇡(r1 ) v ) 2 V ⌦R .

Remark
In this chapter we will assume the existence of tensor norms k · kR for all R 2 Ak satisfying
k a ⌦ b kR⇤Q  k a kR k b kQ, 8a 2 V ⌦R , 8b 2 V ⌦Q .

Let k be a positive integer and ⇧ = (p1 , ..., pk ) a real k-tuple as in Definition 31. Let V be a
Banach space as in Definition 33. For the k-multi-index R = (r1 , ..., rl ) we denote the length by
kRk= l. Furthermore, we define the function nj for j 2 {1, ..., k} by
nj (R) := Card{i|ri = j, ri 2 R}.
We introduce the ⇧-degree of R as
Xk
nj (R)
deg⇧ (R) = .
i=1
pj
Note that deg⇧ (") = 0. We also introduce the function ⇧ : Ak ! [0, 1) by

✓ ◆ ✓ ◆
n1 (R) nk (R)
⇧ (R) = !... !, for R 2 Ak .
p1 pk

Definition (Definition 2.1.3 in gyurko, continued)
Let s 0 be real. We introduce the set of k-multi-indices
A⇧
s := {R = (r1 , ..., rl )|l 1, deg⇧ (R)  s}.
The set Bs⇧ defined by

Bs⇧ := {a 2 T ((V ))|8R 2 A⇧ R
s , a = 0}
is an ideal in T ((V )). The truncated tensor algebra of order (k, s) is defined as the quotient
algebra.
T (⇧,s) (V ) := T ((V ))/Bs⇧ .

Remark (Remark 2.1.1 in gyurko)
L
Note that T (⇧,s) (V ) is isomorphic to R2A⇧ V ⌦R equipped with the product
s
⌦⇧,s : T (⇧,s) (V ) ⇥ T (⇧,s) (V ) ! T (⇧,s) (V )
0 1 0 1
X X X
QA RA
a ⌦⇧,s b=@ a ⌦⇧,s @ b := aQ ⌦ bR
Q2A⇧
s Q2A⇧
s Q⇤R2A⇧
s
where
(q1 , ..., ql ) ⇤ (r1 , ..., rm ) := (q1 , ..., ql , r1 , ..., rm ).
Given this isomorphism of T (⇧,s) (V ), for each a 2 T ((V )), we will identify
0 1
X X
a⇧,s = ⇡⇧,s (a) := @ ⇡R A (a) = aR
R2A⇧
s R2A⇧
s

Remark (Remark 2.1.1 in gyurko, continued)
with a corresponding element in T (⇧,s) (V ) and furthermore the multiplication
⌦⇧,s : T (⇧,s) (V ) ⇥ T (⇧,s) (V ) ! T (⇧,s) (V )
will also be denoted by ⌦.

Here, we are mainly saying that the set of weighted sums of homogeneities is finite and we give
it as ascending ordering.

Remark (Remark 2.1.2. in gyurko)
Let S denote the set n o
S= s = deg⇧ (R)|R 2 Ak
Note that S is close for addition.
Also note that since for any R 2 Ak ,
kR k
deg⇧ (R) >
max1ik pi
the set R 2 Ak |deg⇧ (R)  s is finite for all s 0. This implies, that the elements of S can
be listed in ascending order. We denote this list by S ⇧ and the ith element of the list is denoted
by si⇧ or si :
S ⇧ = {0 = s0 < s1 < s2 < · · · } .
Furthermore, we introduce the notation
n o
V ⌦(⇧,sm ) = (⇡⇧,sm ⇡⇧,sm 1 )a | a 2 T ((V ))
for m = 1, 2....
Analogously to p-rough paths, we can define ⇧-rough paths

Definition (Definition 2.1.4. in gyurko)
L L k
(Finite ⇧-variation). Let the Banach space V be of the form V = V 1 ... V for some
1 k
Banach spaces V , ..., V . Let ⇧ = (p1 , ..., pk ) denote a k-tuple as in Definition 31 and let ! be
a control. For a positive real q, the map X : T ! T (⇧,q) is multiplicative if for all
0  s < t  T , ⇡" Xs,t = 1 and for all 0  s < t < u  T ,
Xs,u = Xs,t ⌦ Xt,u .
Furthermore, X is of finite ⇧ variation controlled by ! if
!(s, t)deg⇧ (R)

k XR
s,t k  k
⇧ (R)
for all (s, t) 2 T and for all k-multi-index R 2 A⇧

q.

Definition ( Definition 2.1.5 (-rough paths) in gyurko )
Let the Banach space V be of the form V = V 1 · · · V k for some Banach spaces
V 1 , . . . , V k . Let ⇧ = (p1 , . . . , pk ) be a k-tuple as in Definition 36 and ! be a control. A -rough
path in V is a continuous T ! T (⇧,1) (V ) multiplicative functional X with finite ⇧-variation
controlled by !. The space of ⇧-rough paths is denoted by ⌦⇧ (V ).

Theorem (Theorem 2.1.1 in gyurko)
(Extension theorem of multiplicative functionals of finite ⇧-variation).
Let k be a positive integer and let the Banach space V be of the form V = V 1 · · · V k for
some Banach spaces V 1 , ..., V k . Let ⇧ = (p1 , ..., pk ) be a real k-tuple as in Definition 31 and !
be a control. Let X : T ! T (⇧,1) (V ) be a multiplicative functional of finite ⇧-variation
controlled by !. Then N for every k-multi-index R 2 Ak /A⇧ 1 , there exists a unique continuous
R
function X : t ! V R such that
X
(s, t) 7! Xs,t = XR
s,t 2 T ((V ))
R2Ak
is a multiplicative functional of finite ⇧-variation controlled by ! in the following sense:
n1 (R) n (R)
+···+ kp
!(s, t) p1 k !(s, t)deg⇡ (R)
k XR
s,t k = k
k ( n1 (R) )! · · · ( nk (R) )! ⇧ (R)
p1 pk
for all R 2 Ak , where

Theorem (Theorem 2.1.1 in gyurko, continued)
1 ✓
X ◆Sm⇤ +1 !!1/k
2
p12 . . . pk2 1+
r =3
r 2
and Sm⇤ and Sm⇤ +1 are the unique pair of adjacent elements of the list S ⇧ for which
Sm⇤  1 < Sm⇤ +1 . (This pair exists by Remark 2.1.2.)

Lemma
k
M
Let V = Vi . Let ⇧ = (p1 , ..., pk ) where pi 1 for each i 2 {1, ..., k}. Let X̊ : T ! T (V )
i=1
be a multiplicative functional with finite ⇧-variation in the sense that there exists a control !
such that 8R 2 Ak , 8(s, t) 2 T ,
k !(s, t)deg⇧ R
k X̊s,t k  k
.
⇧ (R)
Set pmax := max {p1 , ..., pk }. Then ⇧(bpmax c) (X̊) : T ! T (bpc) (V ) has (i) finite pmax -variation
and (ii) is multiplicative.

Theorem
Let V and W be Banach spaces. Let p, q be numbers s.t. 1  q  p and q1 + p1 > 1. Consider
two rough paths X 2 ⌦p (V ) and H 2 ⌦q (W ).
Then, there exists a unique (p, q)-rough path Z such that ⇡V (Z ) = X , ⇡W (Z ) = H and
8R 2 A2 , 8(s, t) 2 T .
R !(s,t)deg⇧ (R)
kZs,t k := k⇡R (Zs,t )k  (7.22)
⇡ (R)
We denote Z by (X , H).

Lemma
Let the Banach space V be of the form V = V 1 · · · V k . Let ⇧ = (p1 , . . . , pk ) be a k-tuple
as in Definition 31 and ! be a control. Let X : T ! T (⇧,1) (V ) be a ⇧-rough path controlled
by !.
Let X be a ✓-almost p-rough path with p = max1ik {pi }. Assume that, for all R 2 A⇧ 1 , we
have that
deg
!(s, t) ⇧ (R)
k⇡R (X)k  k
. (23)
⇧ (R)
Then, if X̄ is the associated p-rough path to X as per Theorem 17, then for every R 2 A⇧
1 , we
have that:
!(s, t)deg⇧ (R)

k⇡R (X)k  k
.
⇧ (R)
That is to say, X̄ has finite ⇧-variation, and it is moreover a ⇧-rough path.

Lemma
Let p, q 1 satisfy p1 + q1 > 1. Let X 2 ⌦p (V ) be controlled by !X and H 2 ⌦q (V ) be
controlled by !H . Set ! = !X + !H . The map (X ⌦ H) from Definition 11 then satisfies, for all
(p,q)
R 2 A1 , and (s, t) 2 T
!(s, t)deg(p,q) (R)

k⇡R ((X ⌦ H)st ) k  2
. (24)
(p,q) (R)
Theorem
Let p, q 1 satisfy p1 + q1 > 1. Let X 2 ⌦p (V ) be controlled by !X and H 2 ⌦q (V ) be
controlled by !H . Then the associated p-rough path (X , H) to (X ⌦ H) is the minimal
(p,q)
(p, q)-extension of the T ! T1 (V W ) rough path H 1 X 1 · · · X bpc .

Bibliography
[1] T. J. Lyons, M. Caruana, and T. Lévy, Di↵erential equations driven
by rough paths. Springer, 2007.

Merging Rough Paths

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Adding

Martin Geller Merging Rough Paths January 5, 2024 2 / 57

T ((V )): space of free tensor series over V

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2 The tensor product has norm 1, i.e. for all n, m 1,

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Definition (Multiplicative Functional)

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Definition (Control, Def. 1.9 in [1])

!(s, t) + !(t, u)  !(s, u) 8s  t  u 2 J

and for which !(t, t) = 0 for all t 2 J.

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Definition (finite p-variation)

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Definition (Rough Path)

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is a multiplicative functional with finite p-variation controlled by !. By this we mean that

We write X 2 ⌦p (V ) to say X is a multiplicative functional of degree bpc with finite p-variation

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2. it is almost multiplicative, i.e. there exists ✓ > 1 such that

If we want to be more specific, we say that X is a ✓-almost p-rough path controlled by !. We

Definition (Geometric rough path)

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Definition (Canonical embedding of a rough path)

Likewise, for H, we set its canonical embedding Hb to be s.t

We call Xb the canonical embedding of X into ⌦p (V b the canonical embedding of H

Martin Geller Merging Rough Paths January 5, 2024 13 / 57

Martin Geller Merging Rough Paths January 5, 2024 14 / 57

where Xb and Hb are the canonical embeddings of X and H into ⌦p (V W ) and ⌦q (V W ),

X D = Xt0 ,t1 ⌦ Xt1 ,t2 ⌦ · · · ⌦ Xtn 2 ,tn 1 ⌦ Xtn 1 ,t .

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Lemma (Neo-classical Inequality)

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for any p 2 [0, 1), r , n 2 N⇤ and x1 , . . . , xr 0.

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k (Xs,t Ys,t )j k < C !(s, t)✓ (7)

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Then, the functional X ⌦ H : 4T ! T ((V W )) given in Definition 11 is in fact in

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For k = 1, 1 := , and for k = 0, 0 ( ) = · 1A . The extension satisfies iV = ˜|V , where

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Definition (Associated Lie algebra functionals)

Ist0 ⌘ 0 ; Ist1 ⌘ Hst

Istj+1 ⌘ Istj+1 Extqi (1, ..., H j )j+1

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is additive, which means that for all s  u  t,

s,t = s,u + u,t .

Conversely, if X : 4T ! T (m+1) (V ) is a multiplicative functional and if : 4T ! V ⌦m+1 is

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||Istj ||  K !X (s, t) 8(s, t) 2 T and 8j = 1, ..., bpc (14)

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=: K6 !X (s, t) , for j = 2, ..., bpc (18)