Functional representation and functional calculus for controlled paths

Source abstract

We study the relation between non-anticipative functional calculus and compatible families of controlled paths. For a non-anticipative functional satisfying horizontal Lipschitz regularity, we show that the iterated vertical derivatives generate compatible higher-order controlled Taylor expansions along Hölder controls, with level-dependent remainder exponents. We derive a rough-integration criterion from these estimates and show that, for $γ-$Hölder controls with $\tfrac{1}{2}\geq γ>\sqrt{2}-1$, the first-order remainder estimate is recovered. Our main result is a converse representation theorem. We consider non-anticipative functionals $G_0,\ldots,G_p$ which satisfy compatible higher-order controlled Taylor estimates along $γ$-Hölder paths. Under natural continuity and compatibility assumptions, we prove that they can be represented as the iterated vertical derivatives of the base functional: $G_j=\nabla_ω^jG_0,\qquad j=1,\ldots,p.$ Thus the Gubinelli coefficients of a compatible controlled family are symmetric and uniquely determined by its base functional; in particular, the Gubinelli derivative is identified with the vertical derivative introduced in functional Itô calculus, giving the coefficient hierarchy an intrinsic path-space differential structure. We show that this class of compatible coefficient families is stable under admissible non-anticipative functional composition and derive the corresponding functional chain rule. As an application, we obtain well-posedness for a class of path-dependent rough differential equations with Volterra memory, and identify the Gubinelli derivative of the resulting path-dependent rough coefficient.