Geometric decomposition of flows generated by rough path differential equations

TL;DR

This paper proves a geometric decomposition of flows generated by rough path differential equations, extending classical flow decomposition results to rough paths with applications in matrix factorizations.

Contribution

It introduces a new geometric decomposition method for flows driven by rough paths, using manifold embedding instead of intrinsic calculus, and demonstrates cascade decompositions for multiple directions.

Findings

Established a local flow decomposition for rough path driven systems.

Applied the decomposition to matrix factorizations involving real logarithms.

Extended classical flow decomposition results to rough path contexts.

Abstract

Whenever an It\^o-Wentsel type of formula holds for composition of flows of a certain differential dynamics, there exists locally a decomposition of the corresponding flow according to complementary distributions (or foliations, in the case of integrability of these distributions). Many examples have been proved in distinct context of dynamics: Stratonovich stochastic equations, L\'evy driven noise, low regularity $\alpha$-H\"older control functions ($ \alpha\in (1/2,1]$), see e.g. [6], [7], [20], [21]. Here we present the proof of this categorical property: we illustrate with the $\alpha$-H\"older rough path, $\alpha \in (1/3, 1/2]$ using the It\^o-Wentsel formula in this context proved in [5]. Different from the previous approaches, here however, instead of using an intrinsic rough path calculus on manifolds, the manifold has to be embedded in an Euclidean space. A cascade decomposition is also shown when we have multiple lower dimensional directions which span the whole space. As application, the linear case is treated in details: the cascade decomposition provides a row factorization of all matrices which allow real logarithm.