We demonstrate two examples of stochastic processes whose lifts to geometric rough paths require a renormalisation procedure to obtain convergence in rough path topologies. Our first example involves a physical Brownian motion subject to a magnetic force which dominates over the friction forces in the small mass limit. Our second example involves a lead-lag process of discretised fractional Brownian motion with Hurst parameter H∈(1/4,1/2), in which the stochastic area captures the quadratic variation of the process. In both examples, a renormalisation of the second iterated integral is needed to ensure convergence of the processes, and we comment on how this procedure mimics negative renormalisation arising in the study of singular SPDEs and regularity structures.
|Title of host publication||International Conference on Stochastic Partial Differential Equations and Related Fields |
|Number of pages||15|
|Publication status||Published - 3 Jul 2018|
|Name|| Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 229)|