Year: 2021
Type: preprint
Abstract: We construct a procedure for Bogoliubov-Parasiuk-Hepp-Zimmermann (BPHZ) renormalization of a rough path in view of the relation between rough path theory and regularity structure. We also provide a plain expression of the BPHZ-renormalized model in a rough path. BPHZ renormalization plays a central role in the theory of singular stochastic partial differential equations and assures the convergence of the model in the regularity structure. Here we demonstrate that the renormalization is also effective in a rough path setting by considering its application to rough path theory and mathematical finance.
Source: arXiv (Cornell University)
Author: Ito, Hayahide
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3137336202