From Constructive Field Theory to Fractional Stochastic Calculus. (I) An introduction: Rough Path Theory and Perturbative Heuristics

• Published in: Annales Henri Poincaré 2011, Vol.12 (6), p.1199-1226, Article 1199
• Main Authors: Magnen, Jacques, Unterberger, Jérémie
• Format: Article
• Language: English
• Subjects: Classical and Quantum Gravitation; Dynamical Systems and Ergodic Theory; Elementary Particles; Exact sciences and technology; Mathematical analysis; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Measure and integration; Ordinary differential equations; Other topics in mathematical methods in physics; Physics; Physics and Astronomy; Probability; Probability and statistics; Probability theory and stochastic processes; Quantum Field Theory; Quantum Physics; Relativity Theory; Sciences and techniques of general use; Stochastic processes; Theoretical
• ISSN: 1424-0637; 1424-0661
• DOI: 10.1007/s00023-011-0106-3

Let B  = ( B 1 ( t ), . . . , B d ( t )) be a d -dimensional fractional Brownian motion with Hurst index α  ≤ 1/4, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of B is a difficult task because of the low Hölder regularity index of its paths. Yet rough path theory shows it is the key to the construction of a stochastic calculus with respect to B , or to solving differential equations driven by B . We intend to show in a forthcoming series of papers how to desingularize iterated integrals by a weak singular non-Gaussian perturbation of the Gaussian measure defined by a limit in law procedure. Convergence is proved by using “standard” tools of constructive field theory, in particular cluster expansions and renormalization. These powerful tools allow optimal estimates of the moments and call for an extension of the Gaussian tools such as for instance the Malliavin calculus. This first paper aims to be both a presentation of the basics of rough path theory to physicists, and of perturbative field theory to probabilists; it is only heuristic, in particular because the desingularization of iterated integrals is really a non-perturbative effect. It is also meant to be a general motivating introduction to the subject, with some insights into quantum field theory and stochastic calculus. The interested reader should read for a second time the companion article (Magnen and Unterberger in From constructive theory to fractional stochastic calculus. (II) The rough path for : constructive proof of convergence, 2011 , preprint) for the constructive proofs.