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# Unitarity-Limited Elastic Collision Rate in a Harmonically-Trapped Fermi Gas

## I Introduction

Recently, we OharaScience  and several other groups Dieckman ; Grimm ; Jincondmat ; Salomoncondmat  have begun exploring the strongly-interacting regime in degenerate Fermi gases of atoms. In these experiments, a magnetic field is applied to the atomic samples to tune the interparticle interactions to the vicinity of a Feshbach resonance where the scattering length is large compared to the interparticle spacing. In this regime, new forms of high temperature superfluidity are predicted Holland ; Timmermans ; Griffin  and strongly anisotropic expansion has been observed OharaScience ; Jincondmat ; Salomoncondmat . As we pointed out in Ref. OharaScience , the strongly interacting regime leads to unitarity-limited mean field interactions as well as unitarity-limited collision dynamics. In the latter case, the scattering cross section is the order of $`4\pi /k_F^2`$, where $`k_F`$ is the Fermi wavevector. In the unitarity limit, the collision rate assumes a universal form and is proportional to the Fermi energy $`k_BT_F`$. At sufficiently low temperatures, Pauli blocking may suppress the unitarity-limited elastic collision rate for the trapped gas, producing an effectively collisionless regime. However, a theoretical study of Pauli blocking in the unitarity-limited regime has not been presented previously, making it difficult to accurately estimate the collision rate. The primary purpose of this paper is to present such a treatment.

Several groups have examined the effects of Pauli blocking on the elastic collision rate for an energy-independent cross section Kennedy ; HollandJin ; Jin . For comparison to the collision rates obtained with a unitarity-limited cross section, we begin by deriving a formula for the collision rate in a harmonic trap as a function of temperature for an energy-independent cross section $`\sigma `$. The results reproduce those obtained in Ref. HollandJin  within 10% factor . We then extend the treatment to include the energy dependence of the cross section in the extreme unitarity limit, where the zero energy scattering length $`a_S`$ satisfies $`|k_Fa_S|1`$ and the gas is strongly interacting. We show that the numerically calculated collision rates for both the energy-independent and unitarity-limited cross-sections agree with analytic expressions derived for the high-temperature limit.

The final part of the paper defines a hydrodynamic parameter $`\varphi =\mathrm{\Gamma }/\omega _{}`$, the ratio of unitarity-limited collision rate $`\mathrm{\Gamma }`$ to the transverse oscillation frequency $`\omega _{}`$ of atoms in the trap. We calibrate $`\varphi `$ by observing the threshold for hydrodynamic expansion of a strongly-interacting Fermi gas as a function of evaporation time OharaScience . We estimate $`\varphi `$ for several recent experiments on strongly interacting Fermi gases OharaScience ; Jincondmat ; Salomoncondmat .

## II Calculating the Collision Rate

We consider a simple model that assumes s-wave scattering is dominant Williams . In this case, the collision cross section takes the form

$$\sigma (k)=\frac{4\pi a_S^2}{1+k^2a_S^2},$$
(1)
where $`k`$ is the relative wavevector of a colliding pair of spin up and spin down fermionic atoms.

In the trap, the average collision rate per particle, $`\mathrm{\Gamma }`$, is determined from the s-wave Boltzmann equation Walraven  under the assumption of sufficient ergodicity. We consider the rate for the process in which a spin up and a spin down atom of total energy $`ϵ_{\text{in}}=ϵ_3+ϵ_4`$ collide to produce atoms with total energy $`ϵ_{\text{out}}=ϵ_1+ϵ_2`$. The effects of Pauli blocking are included for the particles on the outgoing channel, and we assume a 50-50 mixture of atoms in the two spin states. The depletion term in the Boltzmann equation for the particle of energy $`ϵ_4`$ is integrated over $`ϵ_4`$ to determine the collision rate $`\mathrm{\Gamma }`$ for either spin state (as a collision inherently includes one atom of each spin). For an energy-independent cross-section, the integrated loss rate is then $`\dot{N}/2\mathrm{\Gamma }N/2`$, and

$`\mathrm{\Gamma }{\displaystyle \frac{N}{2}}`$ $`=`$ $`{\displaystyle \frac{M\sigma }{\pi ^2\mathrm{}^3}}{\displaystyle }dϵ_1dϵ_2dϵ_3dϵ_4𝒟(ϵ_{\text{min}})\times `$
$`\delta (ϵ_1+ϵ_2ϵ_3ϵ_4)(1f_1)(1f_2)f_3f_4,`$
where $`\mathrm{\Gamma }`$ is the number of collisions per second per atom and $`N`$ is the total number of atoms in the trap. Here, $`𝒟(ϵ_{\text{min}})`$ is the density of states evaluated at the energy $`ϵ_{\text{min}}=\text{min}\{ϵ_1,ϵ_2,ϵ_3,ϵ_4\}`$. $`f_i=1/(g_i+1)`$ is the occupation number with $`g_i=\mathrm{exp}[(ϵ_i\mu )/k_BT]`$, and $`\mu `$ the chemical potential Butts . At zero temperature, the chemical potential is given by the Fermi energy $`\mu (0)=ϵ_F=(3N)^{1/3}\mathrm{}\overline{\omega }=k_BT_F`$, where $`\overline{\omega }=(\omega _{}^2\omega _z)^{1/3}`$ with $`\omega _{}`$ and $`\omega _z`$ the transverse and axial trap oscillation frequencies of a cylindrically symmetric trap.

For fermions, the collision cross section of Eq. 1 for $`|ka_S|1`$ is half that for bosons, i.e., $`\sigma =4\pi a_S^2`$. We begin by determining $`\mathrm{\Gamma }`$ for this case.

### II.1 Energy-Independent Cross-Section

The integrand in Eq. II is readily shown to be symmetric under the interchange of all four particle labels. Hence, without loss of generality, we multiply the integrand by 4, and take $`ϵ_{\text{min}}=ϵ_1`$, and $`𝒟(ϵ_{\text{min}})=[ϵ_1^2/(2\mathrm{}^3\overline{\omega }^3)]\theta _{21}\theta _{31}\theta _{41}`$, where $`\theta _{21}=\theta (ϵ_2ϵ_1)`$ is a unit step function.

It is useful to write the collision rate as the product of a natural collision rate $`\gamma _{\text{EI}}`$, which depends on the trap parameters, and a dimensionless integral $`I_{\text{EI}}(T/T_F)`$, which describes the temperature-dependence,

$$\mathrm{\Gamma }=\gamma _{\text{EI}}I_{\text{EI}}(T/T_F)$$
(3)
We take the natural collision rate to be the classical collision rate at $`T=T_F`$,

$$\gamma _{\text{EI}}=\frac{NM\overline{\omega }^3\sigma }{4\pi ^2k_BT_F}.$$
(4)
Note that the rate is 1/4 of that obtained in a spin-polarized Bose gas. With this choice, $`I_{\text{EI}}`$ becomes

$$\begin{array}{c}I_{\text{EI}}(T/T_F)=144_0^{\mathrm{}}dx_1dx_2dx_3x_1^2f(x_1+x_2)\times \hfill \\ \hfill f(x_1+x_3)[1f(x_1)][1f(x_1+x_2+x_3)].\end{array}$$
(5)
Here $`f(x)=1/[g(x)+1]`$, where $`g(x)=\mathrm{exp}[(T_F/T)(x\mu /ϵ_F)]`$. We assume that for the cases of interest, the trap depth is large compared to $`ϵ_F`$ and $`k_BT`$.

$`I_{\text{EI}}`$ is readily determined by numerical integration using standard results for the chemical potential as a function of $`T/T_F`$ Butts . At low temperature, $`T/T_F0.2`$, we find that $`I_{\text{EI}}`$ is well fit by $`I_{\text{EI}}(T/T_F)15(T/T_F)^2`$, which displays the quadratic dependence expected for Pauli blocking in both final states. At high temperature, $`T/T_F>1.5`$, we find the expected temperature-dependence, $`I_{\text{EI}}(T/T_F)T_F/T`$ as shown below. The complete function $`I_{\text{EI}}(T/T_F)`$ is plotted in Fig. 1A. The maximum value, $`I_{\text{EI}}1.3`$ occurs for $`T/T_F0.5`$. This demonstrates that $`\gamma _{\text{EI}}`$ is essentially the maximum collision rate.

### II.2 Unitarity-Limited Cross-Section

To include the energy dependence of the cross-section, we adopt the notation of Ref. Walraven , and make the replacement

$$\sigma 𝒟(ϵ_{\text{min}})\frac{2\pi M}{(2\pi \mathrm{})^3}_{U(𝐱)<ϵ_{\text{min}}}𝑑𝐱_{P_{}(𝐱)}^{P_+(𝐱)}𝑑P\sigma (q),$$
(6)
where $`2q=\sqrt{P_+^2+P_{}^2P^2}`$ determines the relative wavevector $`q`$, $`P_\pm =\sqrt{2M[ϵϵ_{\text{min}}U(𝐱)]}\pm \sqrt{2M[ϵ_{\text{min}}U(𝐱)]}`$, and $`ϵ`$ is the total energy of the colliding particles.

We are interested in the extreme unitarity limit, where $`\sigma (k)=4\pi /k^2`$ according to Eq. 1 and the elastic collision rate is the maximum possible. We write the collision rate as

$$\mathrm{\Gamma }=\gamma _{\text{UL}}I_{\text{UL}}(T/T_F).$$
(7)
The natural collision rate, Eq. 4 with $`\sigma =4\pi /k_F^2`$, where $`k_F^2=2Mk_BT_F/\mathrm{}^2`$, then takes the form

$$\gamma _{\text{UL}}=\frac{ϵ_F}{6\pi \mathrm{}}.$$
(8)
The dimensionless integral $`I_{\text{UL}}`$ is similar to that of Eq. 5,

$$\begin{array}{c}I_{\text{UL}}(T/T_F)=144_0^{\mathrm{}}dx_1_0^{\mathrm{}}dx_2_0^{\mathrm{}}dx_3x_1^2\times \hfill \\ \hfill f(x_1+x_2)f(x_1+x_3)[1f(x_1)]\times \\ \hfill [1f(x_1+x_2+x_3)]F(2x_1+x_2+x_3,x_1),\end{array}$$
(9)
where $`F(x,x_m)`$ determines the energy-dependent cross section $`\sigma (q)=4\pi /q^2`$ in units of $`4\pi /k_F^2`$. The arguments of $`F(x,x_m)`$ are $`x=ϵ/ϵ_F`$, and $`x_m=ϵ_{\text{min}}/ϵ_F`$. As in Eq. 5, we take $`x_m=x_1`$ without loss of generality.

For a harmonic potential,

$$F(x,x_m)=\frac{16}{\pi \sqrt{2x_m}}_0^1\frac{duu^2}{\sqrt{x2x_mu^2}}\mathrm{ln}\left[\frac{\chi _+(\alpha ,u)}{\chi _{}(\alpha ,u)}\right],$$

where $`\chi _\pm (\alpha ,u)=A(\alpha ,u)\pm B(\alpha ,u)`$, $`A(\alpha ,u)=\alpha +2(12u^2)`$, $`B(\alpha ,u)=2\sqrt{2(1u^2)(\alpha 2u^2)}`$, and $`\alpha =x/x_m`$.

We can simplify the form of the integrals in Eq. 9 by transforming from coordinates $`\{x_1,x_2,x_3,u\}`$ into coordinates $`\{w,y,z,s\}`$, where $`w=x_1`$, $`y=(x_2+x_3)/2x_1`$, $`z=(x_3x_2)/2x_1`$, and $`s=1u^2`$. After the transformation we have

$$\begin{array}{c}I_{\text{UL}}(T/T_F)=144_0^{\mathrm{}}dyG(y)_0^{\mathrm{}}dww^3[1f(w)]\times \hfill \\ \hfill [1f[w(1+2y)]]_y^ydzf[w(1+y+z)]\times \\ \hfill f[w(1+yz)]\end{array}$$
(10)
with $`G(y)`$ given by

$$\begin{array}{c}G(y)=\frac{16}{\pi }_0^1ds\sqrt{\frac{1s}{s+y}}\times \hfill \\ \hfill [\mathrm{ln}(s+y/2+\sqrt{s(s+y)})\mathrm{ln}(y/2)].\end{array}$$
(11)
Eq. 10 is plotted in Fig. 1B. The maximum collision rate is larger by a factor $`4`$ than for an energy independent cross section $`\sigma =4\pi /k_F^2`$, consistent with estimates from radio-frequency measurements of the mean field shift in Ref. Jincondmat . For $`T/T_F<0.15`$, we again find the quadratic temperature-dependence that results from Pauli blocking, $`I_{\text{UL}}82(T/T_F)^2`$. In the high-$`T/T_F`$ limit we find $`I_{\text{UL}}2(T_F/T)^2`$. This matches the high-temperature prediction given below. The maximum value of $`I_{\text{UL}}4.6`$ occurs at $`T/T_F0.4`$.

### II.3 Comparison With Analytic High-$`T/T_F`$ Results

We check the numerical results for the temperature dependence of the rates by calculating the collision rate $`\mathrm{\Gamma }_{\text{HT}}`$ for $`TT_F`$ directly from the phase-space s-wave Boltzmann equation Walraven  in the high-$`T/T_F`$ limit, where the occupation number is given by a Boltzmann factor and Pauli-blocking can be neglected. Including the dependence of the scattering cross section on the relative speed $`v_r`$, we find generally that

$$\mathrm{\Gamma }_{\text{HT}}\frac{N}{2}=𝑑𝐱n_{}(𝐱)n_{}(𝐱)v_r\sigma (v_r),$$
(12)
where the angled brackets denote an average over the relative velocity distribution for pairs of atoms and $`𝑑𝐱n_,(𝐱)=N/2`$. Eq. 12 has a simple physical interpretation: The spin up atoms at position $`𝐱`$, i.e., $`n_{}(𝐱)d𝐱`$, are hit by spin down atoms at a rate $`n_{}(𝐱)v_r\sigma (v_r)`$. For an energy-independent cross section, we obtain $`\mathrm{\Gamma }_{\text{HT}}=\gamma _{\text{EI}}T_F/T`$ in agreement with the numerical results for $`I_{\text{EI}}(T/T_F)`$ of Fig. 1A. The temperature dependence in this limit arises from the flux, which is the product of the density and the relative velocity, i.e., $`nv_r1/T`$. For the extreme unitarity-limited cross section $`\sigma =4\pi /k^2`$, with $`\mu v_r=\mathrm{}k`$, we obtain $`\mathrm{\Gamma }_{\text{HT}}=\gamma _{\text{UL}}\mathrm{\hspace{0.17em}2}(T_F/T)^2`$ in agreement with the numerical results for $`I_{\text{UL}}(T/T_F)`$ shown in Fig. 1B. In this case, the $`1/T^2`$ temperature dependence arises because both the flux and the cross section vary as $`1/T`$.

## III Hydrodynamic Parameter $`\varphi `$

The collisional state of a gas can be described by a hydrodynamic parameter $`\varphi `$ which is the number of collisions that an atom experiences during a characteristic timescale. When $`\varphi `$ is large, the gas is collisionally hydrodynamic, while when $`\varphi `$ is small, the gas is collisionless. The actual values of $`\varphi `$ which qualify as “large” or “small” are determined by calibration.

We choose the characteristic time-scale to be $`1/\omega `$, and take $`\varphi =\mathrm{\Gamma }/\omega `$ where $`\omega =\omega _{},\omega _z`$ are the oscillation frequencies of atoms in the trap. These are also the natural time scales for ballistic expansion, where the size of the cloud scales as $`\sqrt{1+\omega ^2t^2}`$ in each direction. In the unitarity-limited regime, and for a cylindrically-symmetric trap with elongation parameter $`\lambda =\omega _z/\omega _{}`$, we can write $`\varphi _{}`$ as

$$\varphi _{}=\frac{(3\lambda N)^{1/3}}{6\pi }I_{\text{UL}}(T/T_F)$$
(13)
with $`N`$ the total number of atoms in the 50-50 mixture. Then, $`\varphi _z=\varphi _{}/\lambda `$.

### III.1 Calibrating $`\varphi `$

We now turn to the question of determining the approximate value of $`\varphi `$ for which the transition between collisionless and collisional behavior occurs. In Ref. OharaScience , we investigated the anisotropic expansion properties of a strongly-interacting, degenerate Fermi gas of 6Li. When released from a highly-elongated trap, the originally narrow dimensions of the gas expanded rapidly, while the broad dimension remained largely unchanged—inverting the aspect ratio of the cloud. We have studied how the observed aspect ratio of the expanded cloud varies with the duration of evaporative cooling. The aspect ratios are measured for a fixed expansion time of 600 $`\mu `$s and are compared to the predictions of ballistic and hydrodynamic expansion. The results are plotted in Fig. 2.

From this figure, we see that the hottest clouds (short evaporation times) expand ballistically, while the coldest clouds (longest evaporation times) expand hydrodynamically. Ballistic expansion is expected in a normal, collisionless gas. Since the rapid transverse expansion extinguishes collisions before the axial distribution can change significantly, the collisional behavior of the expanding gas can be associated with $`\varphi _{}`$. For the shortest evaporation times shown in Fig. 2, we observe ballistic scaling with $`T=3T_F`$ and $`N=4\times 10^5`$. For our trap $`\lambda =0.035`$. From Eq. 13, we obtain $`\varphi _{}=0.4`$ which then corresponds to approximately collisionless behavior. Therefore, $`\varphi =0.4`$ is, in general, the condition for collisionless behavior for any timescale $`1/\omega `$.

### III.2 Application to Experiment

In addition to our work in OharaScience , several groups have also recently observed hydrodynamic expansion of a Fermi gas in the strongly-interacting regime Jincondmat ; Salomoncondmat . The authors of these papers claim that their experiments are collisionally hydrodynamic. For Ref. Jincondmat , we take the total number of atoms $`N=2.4\times 10^5`$ and $`T/T_F=0.34`$, with $`\lambda =0.016`$, yielding $`I_{UL}=4.5`$ and $`\varphi _{}=5.4`$. For Ref. Salomoncondmat , we take $`N=7\times 10^4`$, $`T/T_F=0.6`$ and $`\lambda =0.35`$, yielding $`I_{UL}=3.5`$ and $`\varphi _{}=7.7`$. Hence, we agree with their conclusions.

Our experiments OharaScience  produce strongly-interacting Fermi gases at considerably lower temperatures. In those experiments, the total number of atoms is $`N1.5\times 10^5`$ for temperatures $`0.08T/T_F0.2`$. Eq. 13 yields $`0.7\varphi _{}3.7`$, while $`20\varphi _z106`$ . The values of $`\varphi `$ corresponding to our lowest temperatures indicate that the trapped gas is nearly collisionless on the transverse timescale, but collisional on the axial.

The onset of high-temperature superfluidity has been recently predicted in the temperature range $`T/T_F=0.250.5`$ Holland ; Timmermans ; Griffin . Since Pauli blocking is ineffective for the unitarity limited cross section when $`T/T_F0.25`$, it is not clear how collisions in the normal component will affect the formation of this high temperature superfluid.

For an expanding gas, we cannot make a definitive statement about the collisional nature, even if it were collisionless when trapped, as Pauli blocking may become ineffective as a result of nonadiabaticity in the expansion, deformation of the Fermi surface, or through other effects KetterleHoPrivate . The magnitude of these effects, and to what extent they modify $`\varphi `$ remains an open question. We are therefore working on experiments which will directly determine if the gas contains a superfluid fraction.

We are indebted to J. T. M. Walraven for stimulating correspondence regarding this work. This research is supported by the Physics Divisions of the Army Research Office and the National Science Foundation, the Fundamental Physics in Microgravity Research program of the National Aeronautics and Space Administration, and the Chemical Sciences, Geosciences and Biosciences Division of the Office of Basic Energy Sciences, Office of Science, U. S. Department of Energy.


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# XMM-Newton observations of Nova LMC 2000Partly based on observations collected at the European Southern Observatory, Chile under proposal 66.D-0391

## 1 Introduction

Nova LMC 2000 was discovered in mid-July 2000 (Liller 2000). Early observations between June 29.68 and July 1.68 have detected the nova, but no brightness estimates are available (Bond & Kilmartin 2000), since all images except the first one on June 29.68 show the nova to be saturated (Bond, priv. comm.). This leaves the exact time and magnitude of the maximum unknown except for the constraint that it was still rising on June 29.68 (Bond, priv. comm.). But even if the observed $`m_\mathrm{V}=11.2`$ mag on 12 July 2000 was the maximum, with a corresponding to $`M_\mathrm{V}=7.5`$ mag, Nova LMC 2000 was among the 20% brightest novae.

Optical spectroscopy on 15 July 2000 shows emission lines of the Balmer series, several Fe multiplets and Na I D, suggesting a “Fe II” nova about one week after maximum (Duerbeck & Pompei 2000). If this time estimate is correct, the maximum of the nova could have been $`m_\mathrm{V}=10.5`$ mag (backwards extrapolation to 8 July 2000) corresponding to $`M_\mathrm{V}=8.2`$ mag.

Spectroscopy of this ONeMg nova (Shore 2002) also revealed weak absorption components in the Balmer lines at 1900 km/s on July 15 (Duerbeck & Pompei 2000), and a FWZI of the Balmer lines on July 14 and 15 of 2200$`\pm `$250 km/s (Hearnshaw & Yan Tse 2000). Spectra obtained with HST on August 19/20, 2000, strongly resemble those of the fast nova V382 Vel ($`t_3`$ = 9 days; Della Valle et al. 2002) at 2 months after visual maximum (Shore et al. 2000).

Only 4 out of about 100 classical novae observed with ROSAT have been found to exhibit a supersoft phase (see Orio & Greiner 1999, Orio et al. 2002). However, theoretically one expects that each nova should pass through a phase of soft X-ray emission during the later stages of decline (e.g. MacDonald et al. 1985): During the post-maximum stage, at constant bolometric luminosity, the photosphere progressively retreats as the residual hydrogen envelope is depleted, and the effective temperature rises up to the soft X-ray region. It is pretty much unclear yet what determines the appearance of supersoft X-ray emission. It has been argued (Truran 2002) that the onset of the supersoft phase is the same for all novae, about 6-8 months, and that the duration of the supersoft X-ray phase is the burning timescale of the white dwarf, i.e. proportional to the mass of the white dwarf (Truran & Glasner 1995, Vanlandingham et al. 2001). While the first two supersoft novae, GQ Mus (Ögelman et al. 1993) and V1974 Cyg (Krautter et al. 1996), are consistent with this suggestion, observations of other recent novae imply that the picture is more complicated.

Here we report the results of a sequence of XMM-Newton observations of N LMC 2000 aimed at finding and characterizing the supersoft X-ray component. We also report a contemporaneous optical observation.

## 2 Observations and Results

### 2.1 XMM-Newton observations

Observations of Nova LMC 2000 were performed at three occasions (see Tab. 1), about 17, 51 and 294 days after the likely maximum on 8 July 2000.

Throughout all observations the thin blocking filter was used. In the following, we primarily deal with EPIC-pn (Strüder et al.2001) part of the X-ray data, and the optical monitor (OM; Mason et al. 2001) data.

#### 2.1.1 XMM-Newton EPIC-pn data

After a first inspection of the X-ray data, a source detection run was done in the 0.5–7 keV band, as well as in narrow bands to derive hardness ratios. These hardness ratios, the count rates in the full band and the 3$`\sigma `$ upper limit for the non-detection during the March 2001 observation are given in Tab. 1 and show the strong intensity and spectral variability of the X-ray emission of Nova LMC 2000.

For the spectral analysis, single and double events away from the edges of the CCD or bad pixels were extracted in a source region of 19′′, and a background region of outer diameter of 30′′.

Because of the larger number of collected photons we first fitted the X-ray spectrum obtained on 28 August 2000. Before the extraction of source and background photons, a time interval of $``$2 ksec was excluded because of high background. Since the spectrum lacks any soft component, we applied a bremsstrahlung and a Raymond-Smith model to the data. Both models give satisfactory fits, and the fit parameters are given in Tab. 2. During the observation on 28 August 2000, the unabsorbed X-ray luminosity was 2$`\times `$1034 erg/s (0.01–20 keV; assuming a distance of 55 kpc). Note that despite the (best-fit) absorbing column of (2–3)$`\times `$1021 cm-2, a supersoft component with a characteristic temperature of 30–50 eV and a luminosity of 1036–1038 erg/s would have been easily detectable.

We then used the same models to also fit the July 25/26 observation. However, due to the smaller number of counts, the temperature in both models is not constrained. Thus, in a second iteration, we fixed the temperature to the value as derived from the August 28, 2000 observation. The best-fit parameters of both fits are also given in Tab. 2. The unabsorbed bolometric luminosity of Nova LMC 2000 during the July 25/26, 2000 observation was (5.0$`\pm `$0.3)$`\times `$1034 (D/55 kpc)2 erg/s, where the error includes also the difference between the two models. In a third iteration we tested a fit with the absorbing column fixed to the value of the July 2000 observation in order to check whether a temperature change could mimic the variation in absorbing column. However, this does not provide an acceptable fit (reduced $`\chi ^2`$ of 2.5).

For the X-ray non-detection on 29 March 2001, assuming the same spectral models and no intrinsic absorption through the ejected nova shell we derive a 3$`\sigma `$ upper limit for the luminosity of $`L<1.1\times 10^{33}`$ (D/55 kpc)2 erg/s for the case of only galactic foreground absorption (7$`\times `$1020 cm-2) or $`L<1.4\times 10^{33}`$ (D/55 kpc)2 erg/s for the case of galactic foreground plus total LMC absorption (15$`\times `$1020 cm-2; Luks 1994).

#### 2.1.2 XMM-Newton Optical Monitor data

The OM was used with a variety of filters, and also the grism was used in two occasions. In particular, we obtained (i) two 5 ksec grism 2 (visual spectrum) exposures, a sequence of 5 exposures with the UVW1 filter, and a sequence of 4 exposures with the UVW2 filter, each with 940 sec) in the first XMM-Newton observation of Nova LMC 2000 (revolution 115); (ii) a sequence of 5 exposures with the V band filter with 1 ksec each, followed by a 5 ksec grism 2 exposure (second XMM-Newton observation; rev. 132); (iii) a sequence of 5 exposures of 1 ksec with the U band filter in the last XMM-Newton observation (rev. 239).

Unfortunately, the grism data are hardly usable since the window of the CCD was set too small. The photometry in the different filters is summarized in Tab. 3. The central wavelengths for the UV filters are 2910 Å for the UVW1 and 2120 Å for the UVW2, respectively.

### 2.2 Optical photometry

On 4 December 2000 we obtained three V band exposures with 90 sec exposure time each using DFOSC at the 1.5 m Danish telescope at La Silla (ESO, Chile). The MAT/EEV 44-82 CCD chip with 15 $`\mu `$m pixels has a plate scale of 0$`.^{\prime \prime }`$4/pixel. The seeing was 1′′. The photometric standard RU 149, observed at nearly the same airmass as N LMC 2000, was used for the absolute flux calibration. Due to the brightness of the nova and the relatively crowding-free surrounding (see Fig. 2), aperture photometry was done within the MIDAS package after standard flatfield and bias correction. We measure V = 16.20$`\pm `$0.03 mag independently in each of the three images for Nova LMC 2000. After adding this to the early measurements by VSNET observers (Fig. 3), a comparison with light curve models of Hachisu & Kato suggests that Nova LMC 2000 was possibly still in the plateau phase during our optical observation on 4 December 2000.

A crude estimate of the decay rate based on the VSNET data gives $`t_2`$ $``$ 9.0 days and $`t_3`$ $``$ 22 days, with an error of $`\pm `$2 days depending on the actual occurrence of the not observed optical maximum (where $`t_2`$ and $`t_3`$ are the times during which the brightness decays by two and three magnitudes, respectively).

## 3 Discussion

### 3.1 Luminosity and absorption change

The 0.1–10 keV X-ray emission observed from Nova LMC 2000 at 17 and 51 days after the explosion is well described by a bremsstrahlung or Raymond-Smith model. Spectral fitting reveals that during the first observation the absorbing column was much larger, indicating intrinsic absorption due to the ejected shell. This is independent of the model used in the fitting. Despite the smaller count rate in the first observation with respect to the second, the derived luminosity was largest in the first observation.

### 3.2 The mass of the ejected envelope

The large excess absorption determined from the first observation can be used to estimate the mass of the ejected shell, assuming no clumpiness (and a filling factor of 1 though this is likely an overestimate), i.e. that the measured column density is representative for all spatial directions around the nova system. At the time of the first observation, the expansion velocity was $``$2000 km/s (Duerbeck & Pompei 2000, Hearnshaw & Yan Tse 2000), and thus the shell radius was $`R3\times 10^9`$ km, if no substantial deceleration has occurred during the first 17 days after the nova explosion. Using a mean column density of neutral hydrogen of $`5\times 10^{22}`$ cm-2 (see Tab. 2), a mass of the shell of $`\mathrm{\Delta }M_{ej}=7.5\times 10^5`$ M is obtained. As a kind of consistency check one can also consider the later decrease of the absorbing column between the first and second XMM-Newton observation. Since the time difference, and thus the radius difference, is a factor of 3, the absorbing column should have reduced by a factor of 9 if the shell had expanded with constant velocity. This is, within the errors, consistent with the measured change in column density (see Tab. 2).

An independent estimate of the ejected shell mass can be derived from the measured decay time $`t_2`$ and the relation $`log\mathrm{\Delta }M_{ej}=0.274\times \mathrm{log}t_24.355`$ (Della Valle et al. 2002; note that their formula as well as their figure miss a factor of 10-5 in $`\mathrm{\Delta }M_{ej}`$). This yields $`\mathrm{\Delta }M_{ej}=8\times 10^5`$ M, in good agreement with the above estimate from the measured column density (note though that the Della Valle et al. relation refers to the ionized hydrogen mass).

Based on the relation between decay time vs. absolute magnitude (Della Valle & Livio 1995) and our measured $`t_2`$ value, the absolute magnitude of Nova LMC 2000 would be $`M_\mathrm{V}=8.74`$ mag, half a magnitude brighter than the backwards extrapolation based on the spectral appearance. This would imply that this extrapolation is reasonable.

### 3.3 The supersoft X-ray phase in novae

No supersoft X-ray phase has been found for Nova LMC 2000: while on 25/26 July 2000 the ejected shell was still too optically thick to allow soft X-rays to penetrate, the shell had thinned considerably over the next 4 weeks (until Aug. 28) to allow the detection of supersoft emission, if it had been present. Thus, the supersoft X-ray phase in Nova LMC 2000 must have been shorter than 7 weeks, or 6$`\times t_2`$. In view of the fact that an HST STIS spectrum taken Aug. 19/20, i.e. 9 days before the second XMM-Newton observation shows a 1150–3120 Å flux of 1.6$`\times `$1038 erg/s (Shore et al. 2000), the shell burning should either has switched off during those 9 days, or the effective temperature was below $``$10 eV in order not to be observable in our XMM-Newton exposure.

In an attempt to understand the reason for the largely varying duration of the supersoft X-ray phase in different novae we have compiled some information on novae with observed supersoft X-ray phase or very constraining observational limits (Tab. 4).

The detectability of supersoft X-ray emission from novae depends on several factors, the three most important ones (probably) being the existence/duration of such a supersoft X-ray phase in the first place, the amount of matter ejected during the thermonuclear runaway and that blown away later during a wind phase, both of which hide the supersoft X-ray emission during the early phase after a nova until the shell has become optically thin. It is therefore interesting to ask how these factors relate to other observable parameters of a nova?

The ignition of the thermonuclear runaway of accreted hydrogen is primarily determined by the pressure at the base of the accreted envelope, which in turn depends on the mass and radius of the white dwarf and the mass of the envelope (Fujimoto 1982a). It has been argued that the $`t_3`$-time primarily depends on the mass of the white dwarf (eq. 12 in Livio 1992). Furthermore, since also the maximum absolute magnitude of a nova correlates with the mass of the white dwarf as well as the decline rate, Della Valle et al. (2002) have recently found a correlation between the shell mass and the $`t_2`$-time (note that Shore 2002 has proposed an alternative relation using the same quantities). If the duration of the supersoft X-ray phase depended on the amount of mass which is left over after the ejection of the shell, i.e. the difference between the mass necessary to ignite the thermonuclear explosion and the mass of the matter ejected into the expanding shell, it could be expected that the supersoft X-ray phase would correlate with the $`t_2`$\- or $`t_3`$-time. We have collected the relevant data (see Tab. 4) for the five novae with detected supersoft X-ray emission, plus a few cases with stringent limits (including the present case Nova LMC 2000). Comparing the decay times (columns 2 and 3) and the implied envelope mass (col. 4) according to Della Valle et al. (2002) with the duration of the supersoft X-ray phase (col. 8) does not show any obvious correlation, however (though we note that envelope mass estimates are typically very uncertain). Thus, the supersoft X-ray phase is seemingly not directly correlated to the brightness decay rate and/or the mass of the white dwarf. This also argues against the simple scenario of Truran & Glasner (1995) and Vanlandingham et al. (2001): for instance, N LMC 1995 with a rather short decline time and a white dwarf mass of $``$1.2 M according to the $`t_3`$-$`M_{\mathrm{WD}}`$ relation would have an expected supersoft X-ray phase of less than 1 yr, but is observed as supersoft X-ray source for over 6 years now (Orio et al. 2003).

We have also considered the expansion velocities of the nova shells (col. 6 in Tab. 4), since it is proportional to the pressure at the base of the accreted shell. There is an interesting correlation with the duration of the supersoft X-ray phase in 8 sources except for Nova LMC 2000 which falls off completely (Fig. 4). Thus, either this correlation is chance coincidence due to the small number statistics, or the non-detection the supersoft X-ray phase is caused by a much higher than estimated absorbing column for which we have no other evidence. One could imagine that the (hard) X-ray emission which is seen on 28 August 2000 originates outside the expelled envelope, and therefore the small absorbing column derived from the fit of that emission is not representative of the column which blocks the supersoft emission from the white dwarf. A third alternative is that the burning continued much longer, but at such low temperature ($`<`$10 eV) that made it impossible to be detected by XMM-Newton.

A somewhat surprising correlation is found when plotting the orbital period over the X-ray turn-off time (Fig. 5): systems with a short orbital period have a long H shell burning period. One possible explanation would be the higher irradiation of the companion star in short orbital period binaries, which in turn may increase the mass transfer rate to the white dwarf. But even without considering irradiation, the orbital period is strongly correlated to the mass transfer rate in cataclysmic binaries (e.g. Patterson 1984), and therefore can be expected to be a dominant factor in the evolution of a nova through a supersoft X-ray phase (see below).

A different way to consider the problem of the supersoft X-ray phase duration is to remember that the H shell burning may cease before all material is consumed. As has first been argued by Fujimoto (1982b), burning will cease when the mass of the shell becomes less than a critical value $`M_{\mathrm{ext}}`$, below which the temperature at the bottom of the envelope is too low for the shell burning to compensate the energy loss from the surface. Thus, the important factor is not the absolute value of the matter left after the shell has been expelled, but the difference of this left-over matter and the critical mass $`M_{\mathrm{ext}}`$. In evaluating this suggested correlation (Fujimoto 1982b), we have (i) derived the accretion rate from the orbital period using the “master equation of binary evolution” for the case of rotational braking (eq. 38 in Patterson 1984), (ii) deduced the white dwarf mass from the $`t_3`$ time (eq. 13 in Livio 1992), (iii) by using the accretion rate and white dwarf masses determined the mass ($`\mathrm{\Delta }M_{\mathrm{ign}}`$) necessary to ignite the shell burning depending on the white dwarf mass and accretion rate (Fig. 7 from Fujimoto 1982b; see column 8 in Tab. 4), (iv) derived the ejected shell mass from the $`t_2`$ time (Della Valle et al. 2002; see column 5 in Tab. 4), (v) compared the difference of the total shell mass ($`\mathrm{\Delta }M_{\mathrm{ign}}`$) and the ejected mass ($`\mathrm{\Delta }M_{\mathrm{ej}}`$) with the critical mass ($`\mathrm{\Delta }M_{\mathrm{ex}}`$) which varies between $`5\times `$10-5 M for a 0.8 M white dwarf mass down to $``$10-6 M for a 1.2 M white dwarf mass.

Fig. 6 shows this ratio in dependence of the X-ray turn-off time for the six novae for which the relevant data ($`t_2`$, $`t_3`$, $`P_{\mathrm{orb}}`$) are available. We find that three sources have substantial mass above the critical $`\mathrm{\Delta }M_{\mathrm{ex}}`$: GQ Mus has by far the largest mass excess, consistent with its $``$10 yr supersoft X-ray phase, as well as N Cyg 1992 and V1494 Aql. The other three systems, V382 Vel, CI Aql and U Sco happen to fall very near their $`\mathrm{\Delta }M_{\mathrm{ex}}`$ values, and according to the suggestion of Fujimoto (1982b) would turn off very rapidly after the explosion. This is consistent with the observations.

Of course, there are several limitations to this simple picture, and additional factors are thought to also influence the duration of the supersoft X-ray phase, but were ignored here: (i) Metallicity is certainly an important factor which determines the appearance of supersoft X-rays. With Nova LMC 2000 having the same metallicity and additionally a very similar environment (less than 20 arcmin offset) as the supersoft Nova LMC 1995 (Orio & Greiner 1999), one could have hoped for a similar X-ray behaviour. But obviously the limits on the supersoft phase in Nova LMC 2000 imply a much shorter duration than the more than 6 years (and continuing) of Nova LMC 1995 (Orio et al. 2003). (ii) It is generally agreed upon that there is a continuous, long-lasting loss of matter (wind) after the possible ejection at the time of the thermonuclear runaway. Wind-driven mass loss is expected to be strongly mass dependent, i.e. the radiation pressure grows for larger white dwarf mass. This would imply a shorter supersoft X-ray phase for novae with larger white dwarf masses (e.g. Starrfield et al. 1991, Yungelson et al. 1996).

Unfortunately, no statement can be made concerning N LMC 2000. It would be interesting to determine the orbital periods of N LMC 2000 and N LMC 1995 to determine their location relative to $`\mathrm{\Delta }M_{\mathrm{ex}}`$, and thus to test the above hypothesis that the duration of the supersoft X-ray phase is determined by the ratio of the left-over mass to the critical mass $`\mathrm{\Delta }M_{\mathrm{ex}}`$ for shell burning. If the above relations hold, we would infer orbital periods in the range of 0.5–1 day for Nova LMC 2000 and 2 hrs for Nova LMC 1995.

## Acknowledgments

We are highly indebted to F. Jansen for granting XMM-Newton Director’s discretionary time for these Target of Opportunity observations of Nova LMC 2000. We are grateful to the VSNET observers for providing most of the measurements plotted in Fig. 3. JG thanks I. Bond for the details of the early photometry obtained within the MOA project (www.vuw.ac.nz/scps/moa), as well as C. James and A. Breeveld for the help in the attempt to make use of the OM grism data. Based on observations obtained with XMM-Newton, an ESA science mission with instruments and contributions directly funded by ESA Member States and NASA.


text:
# Continuity of the Itô-map for Hölder rough paths with applications to the Support Theorem in Hölder norm

## 1. Introduction

### 1.1. Background in Rough Path theory

Over the last years T.Lyons and co-authors developed a general theory of integration and differential equations of form

(1.1)
$$dy_t=f(y_t)dx_t.$$

To include the important example of stochastic differential equations, $`x`$ must to be allowed to be ”rough” in some sense. Standard Hölder-regularity of Brownian motion, for instance, implies finite $`p`$-variation only for $`p>2`$. Another issue is to explain (deterministically) the difference between SDEs based on Stratonovich- vs. Itô-integrals. Last not least, motivated from examples like Fractional Brownian motion, driving signals much rougher than Brownian motion should be included.
All this has been accomplished in a very satisfying way and the reader can nowadays find the general theory exposed in \[L98\], \[LQ\], \[Le\].

Loosely speaking, for general $`p1`$, one needs to ”enhance” the driving signal $`x`$, with values in some Banach-space $`V`$, to $`XVV^2\mathrm{}V^{[p]}`$ such that the resulting object $`X`$ satisfies certain algebraic 111For algebraic convenience $`X`$ is often enhanced to $`VV^2\mathrm{}V^{[p]}`$ with scalar component constant $`1`$. and analytic conditions. For $`x`$ of finite variation, this enhancement will simply consist of all the iterated integrals of $`x`$,

$$X_{s,t}^k:=_{s<u_1<\mathrm{}<u_k<t}𝑑x_{u_1}\mathrm{}𝑑x_{u_k},k=1,\mathrm{},[p].$$

These are the Smooth Rough Paths. Consider a time-horizon of $`[0,1]`$ (valid for the rest of the paper) and introduce the $`p`$-variation metric, defined as

$$d(X,Y)=\underset{k=1,\mathrm{},[p]}{\mathrm{max}}(\underset{D}{sup}\underset{l}{}|X_{t_{l1},t_l}^kY_{t_{l1},t_l}^k|^{p/k})^{k/p},$$

where $`sup_D`$ runs over all finite divisions of $`[0,1]`$. Here $`|.|`$ denotes (compatible) tensor norms in $`V^k`$. Closure of Smooth Rough Paths w.r.t. this metric yields the class of Geometric Rough Paths 222A slightly weaker definition of Geometric Rough Path appeared in \[L98\]. We follow the more recent \[LQ\]., denoted by $`G\mathrm{\Omega }_p(V)`$. The solution-map, also called Itô-map, to (1.1) is then a continuous map from $`G\mathrm{\Omega }_p(V)G\mathrm{\Omega }_p(W)`$, provided $`f:WL(V,W)`$ satisfies mild regularity conditions. This is Lyons’ celebrated Universal Limit Theorem. In particular, smooth approximations $`X(n)`$ which converge in $`p`$-variation to $`XG\mathrm{\Omega }_p(V)`$ will cause the corresponding solutions $`Y(n)`$ to converge to $`Y`$ in $`p`$-variation. Hence, one deals with some kind of generalized Stratonovich theory.

However, the so important case of $`p(2,3)`$, on which this paper will focus, allows for more. Following \[LQ\] p149 and also \[L98\] the driving signal only needs to be a Rough Path of finite $`p`$-variation. By definition, this is a continuous map

$$(s,t)(X_{s,t}^1,X_{s,t}^2)VV^2,$$

where $`0st1`$, satisfying the algebraic condition

(1.2)
$$X_{s,u}^1=X_{s,t}^1+X_{t,u}^1\text{and}X_{s,u}^2=X_{s,t}^2+X_{t,u}^2+X_{s,t}^1X_{t,u}^1,$$

whenever $`stu`$, and the analytic condition $`d(X,0)<\mathrm{}`$ i.e.

(1.3)
$$\underset{D}{sup}\underset{l}{}|X_{t_{l1},t_l}^k|^{p/k}<\mathrm{},k=1,2.$$

(Sometimes we refer to $`k=1,2`$ as first resp. second level.) The class of Rough Paths of finite $`p`$-variation is denoted by $`\mathrm{\Omega }_p(V)`$. Clearly,

$$\{\text{Smooth Rough Paths}\}G\mathrm{\Omega }_p(V)\mathrm{\Omega }_p(V).$$

Condition (1.2) is known as Chen relation and expresses simple additive properties whenever $`X^2`$ is obtained as some iterated integral including the cases of Stratonovich- resp. Itô-Enhanced Brownian Motion (EBM), where

$$X_{s,t}^1=\beta _{s,t}^1=\omega _t\omega _s,$$

the increments of Brownian Motion on $`V=^d`$, defined on the usual Wiener-space $`(C([0,1],^d),\mu )`$. $`X_{s,t}^2=\beta _{s,t}^2`$ is defined via stochastic integration,

(1.4)
$$_s^t(\omega _r^i\omega _s^i)𝑑\omega _r^j\text{resp.}_s^t(\omega _r^i\omega _s^i)𝑑\omega _r^j.$$

Clearly, there is a modification of $`\beta ^2`$, denoted by the same name, such that $`\beta ^2`$ (and hence $`\beta `$) is continuous in $`s,t`$ for all $`\omega `$. With this choice, it is well-known that (both Stratonovich- and Itô-)EBM are a.s. elements of $`\mathrm{\Omega }_p(V)`$, also called Brownian Rough Paths. Indeed, this will follow from a.e. Stratonovich-EBM $`\beta =\beta (\omega )=(\beta ^1,\beta ^2)`$ being a Geometric Rough Path and this is the (somewhat computational) approach in \[LQ\], \[Le\].

We emphasize once more, that for $`p(2,3)`$ and driving signal in $`\mathrm{\Omega }_p(V)`$ a complete theory is available, covering both Itô- and Stratonovich-SDEs. In particular, the Universal Limit Theorem holds, see \[LQ\], p164 and Section 4.

### 1.2. Definitions and outline

Our focus being on Brownian Rough Paths, let $`p(2,3)`$ and $`V=^d`$ from here on. Given a Rough Path

(1.5)
$$X:=\underset{k=1,2}{\mathrm{max}}\underset{0s<t1}{sup}\frac{|X_{s,t}^k|}{|ts|^{k/p}}.$$

We call Rough Paths with $`X<\mathrm{}`$ Hölder Rough Paths and write $`XH\mathrm{\Omega }_p(V)`$. This condition is similar to (1.3) but stronger. Note $`H\mathrm{\Omega }_p(V)\mathrm{\Omega }_p(V)`$. Clearly, $`H\mathrm{\Omega }_p(V)`$ becomes a metric space under $`\rho (X,Y):=XY`$. (The norm $`.`$ appeared in \[L95\] but seems to have disappeared in the current $`p`$-variation  Rough Path theory.) In Section 2 we use Kolmogorov’s criterion to prove a 2-parameter Hölder-regularity of an object intimately related to $`\beta `$. This implies $`\beta H\mathrm{\Omega }_p(V)`$. (Such a result was mentioned without proof in \[L95\] and might be contained in unpublished thesis-work, \[S\].) As further corollary, we have the well-known $`\beta \mathrm{\Omega }_p(V)`$. In Section 3, we establish convergence in $`\rho `$-metric of piecewise linear approximations based on nested partitions. This gives a simple and novel proof that Stratonovich-EBM is an element of $`G\mathrm{\Omega }_p(V)`$.(Our proof combines the preceding regularity result with soft martingale and compactness arguments. In a sense, all dyadic approximations done by hand in \[LQ\], \[Le\] are isolated in our initial application of Kolmogorov’s criterion.) At last, the results are extended to adapted dyadics approximations.

Section 4 is a recall of Lyons’ Universal Limit Theorem. In Section 5 we translate his fine estimates in terms of control functions to plein Lipschitz-continuity of the Itô-map from $`(H\mathrm{\Omega }_p(V),\rho )`$ to $`(H\mathrm{\Omega }_p(W),\rho )`$.

Finally, in Section 6 we apply our refined Rough Path machinery to prove the celebrated Support Theorem in Hölder-topology. As observed in \[MS\], the proof can be reduced to two convergence results (one for each inclusion) and these follow immediately from our results.

Remarks: -The use of Rough Path theory to prove the Support Theorem was first carried out in \[LQZ\]. Using the standard (= $`p`$-variation) Rough Path machinery the well-known Hölder-topology result ( \[BGL\], \[MS\], \[ST\]) was not recovered. We also note, that the approach in \[LQZ\] relies on correlation inequalities.

-A recent preprint, \[Gu\], proposes to re-prove rough path theory in a pure Hölder context, apparently motivated by (1.5).

-Forthcoming joint-work with Nicolas Victoir will (among other things) contain a rough paths proof of the support theorem in yet a stronger norm (modulus norm).333The overlap to \[FV\] is kept to a minimum. In particular, 2-paramter regularity and convergence, definition (1.5) and Lipschitz-continuity of Itô-map are not contained in \[FV\].

## 2. Hölder-regularity of Enhanced Brownian motion

As before, let $`(\beta ^1,\beta ^2)=\beta =\beta (\omega )`$ be (Itô -or Stratonovich) EBM based on $`d`$-dimensional BM, chosen s.t. $`(s,t)\beta _{s,t}(\omega )`$ is continuous for all $`\omega `$. Recall $`0s,t1,p(2,3)`$.

###### Theorem 2.1.

Let $`\gamma (0,1/21/p)`$. Introduce the following $`2`$-parameter processes

(2.1)
$$Z_{s,t}^k=\frac{\beta _{s,t}^k}{|ts|^{k/p}}V^k^{d^k}k=1,2,$$

whenever $`t>s`$ and set them zero otherwise. Then for $`\mu `$-a.e. $`\omega `$ $`Z^k=Z^k(\omega )`$, as function of $`s,t`$, is Hölder continuous of any exponent $`k\gamma `$. Also,

(2.2)
$$\underset{ss^{},tt^{}}{sup}\frac{|Z_{s,t}^kZ_{s^{},t^{}}^k|}{[|t^{}t|+|s^{}s|]^{k\gamma }}L^{\mathrm{}}:=_{q<\mathrm{}}L^q.$$

The following lemma is proved in the appendix.

###### Lemma 2.2.

Fix $`i,j\{1,\mathrm{},d\}`$ and set $`Z=Z^{2,ij}`$. Then there is $`c=c(p)`$ s.t.

$$E[|Z_{s,t}Z_{s^{},t^{}}|^2]c[|s^{}s|+|t^{}t|]^{2(12/p)}.$$

Proof of Theorem 2.1.

We only prove $`k=2`$. The first level i.e. $`k=1`$ is similar but easier. As before, fix $`i,j`$ and set $`Z_{s,t}=Z_{s,t}^{k,ij}`$. By equivalence of finite dimensional norms, it suffices to show that $`Z`$ is Hölder. We first consider Itô-EBM. With this choice $`Z_{s,t}`$ is an element of the second Wiener-Itô-chaos and a moment estimate similar to the Gaussian case is available ( \[RY\], p207). With lemma 2.2,

$`E[|Z_{s,t}Z_{s^{},t^{}}|^q]`$ $``$ $`c(q)\left(E[|Z_{s,t}Z_{s^{},t^{}}|^2]\right)^{q/2}`$
$``$ $`c[|s^{}s|+|t^{}t|]^{(12/p)q}.`$
We can choose $`q`$ arbitrarily large and, by Kolmogorov’s criterion as found in \[RY\], obtain Hölder regularity for any exponent $`\gamma `$ less than $`12/p`$.
The only thing left to consider is $`Z=Z^{2,ij}`$ based on Stratonovich-EBM. Only on the diagonal $`i=j`$ there is a non-zero difference (coming from the quadratic variation of BM),

$$Z_{s,t}^{\text{Itô}}Z_{s,t}^{\text{Stratonovich}}=\frac{1}{2}|ts|^{12/p}.$$

As composition of the Lipschitz-map $`(s,t)|ts|`$ and a $`(12/p)`$-Hölder map, the map $`(s,t)|ts|^{12/p}`$ is itself $`(12/p)`$-Hölder. This implies the $`\gamma `$-Hölder-regularity of $`Z=Z^{\text{Stratonovich}}`$. The proof is finished. QED

###### Corollary 2.3.

Enhanced Brownian motion $`\beta `$ is $`\mu `$-a.s. an element of $`H\mathrm{\Omega }_p(V)\mathrm{\Omega }_p(V)`$. More precisely, there exists $`C=C(\omega )L^{\mathrm{}}`$ such that for all $`st`$ and $`k=1,2`$

(2.3)
$$|\beta _{s,t}^k|^{p/k}C|ts|.$$

(In Lyons’ terminology, $`\beta `$ admits the additive control $`C|ts|`$.)

Proof of Corollary 2.3.

The continuous function $`(s,t)Z_{s,t}^k`$ achieves its maximum $`C(\omega )`$ which is easily estimated by the (2.2). QED

Remark:  We showed that a.s. $`Z_{..}^k`$ is an element of the Hölder-space $`C^{0,k\gamma }([0,1]^2,V^k)`$. Moreover, (2.2) can be used as a norm.

## 3. Approximations to Brownian Rough Paths

### 3.1. Piecewise linear nested approximations

Based on piecewise linear nested approximations $`\omega (n)`$ of the underlying Brownian path $`\omega `$ we construct a Smooth Rough Path denoted by $`\beta (n)=(\beta ^1(n),\beta ^2(n))`$. We assume that these partitions are deterministically chosen and that their mesh goes to $`0`$. Note that the commonly used piecewise linear dyadic approximations (see \[ST\], \[M\], \[LQ\] ,…) fall into the considered class.

As before, introduce $`Z^1,Z^2`$ based on Stratonovich-EBM $`\beta `$ and, similarly $`Z^1(n),Z^2(n)`$ based on $`\beta (n)`$. The matrix-valued processes $`Z^2,Z^2(n),\mathrm{}`$ split into symmetric and anti-symmetric parts. For instance,

$$Z^2=\widehat{Z}^2+A^2,$$

where $`\widehat{.}`$ indicates symmetrization.

###### Theorem 3.1.

Let $`p(2,3),\gamma (0,1/21/p)`$. For first level and symmetric part of the second level, convergence of the approximations holds a.s. in Hölder-space of exponent $`\gamma `$,

(3.1) $`Z^1Z^1(n)_{C^{0,\gamma }}0,`$
(3.2) $`\widehat{Z}^2\widehat{Z}^2(n)_{C^{0,\gamma }}0.`$
For the antisymmeric part $`A^2`$, based on the Lévy-area of the the underlying BM, we have a.s.

(3.3)
$$A^2A^2(n)_{C^{0,2\gamma }}0.$$

Remark: Given that $`Z^2`$ is itself $`2\gamma `$-Hölder it is quite possible that $`Z^2(n)Z^2`$ in $`C^{0,2\gamma }`$, but none of our conclusions will rely on this.

###### Corollary 3.2.

There exists a random constant $`C<\mathrm{}`$ a.s. and a random sequence $`a_n(\omega )0`$ a.s. such that, for $`st`$, $`k=1,2`$

(3.4)
$$|\beta _{s,t}^k(n)|,|\beta _{s,t}^k|[C(\omega )|ts|]^{k/p}$$

and

(3.5)
$$|\beta _{s,t}^k\beta _{s,t}^k(n)|a_n(\omega )|ts|^{k/p}.$$

(In Lyons’ terminology, the additive control $`C(\omega )|ts|`$ is uniform for the entire sequence $`\beta (n)`$ and controls the convergence. 444Strictly speaking, $`(C1)|ts|`$ will be the required control. )

These estimates translate to

###### Corollary 3.3.

The (Smooth Rough Path-) approximations $`\beta (n)`$ converge to $`\beta `$ in Hölder-metric $`\rho `$,

$$\rho (\beta (n),\beta )0\text{a.s.}$$

(Since this implies convergence in $`p`$-variation metric $`d`$ we identify, en passant, Stratonovich-EBM $`\beta `$ as a Geometric Rough Path.)

Proof of Theorem 3.1. We are able to do most of the work for levels $`k=1,2`$ at the same time. For the moment, fix $`ij`$. For $`k=1`$ set

$$Z=Z^{1,i},$$

while for $`k=2`$ set

$$Z=Z^{2,ij}.$$

Either way, we have a real-valued $`2`$-paramter process, $`k\gamma `$-Hölder according to Theorem 2.1. This means for some $`L^{\mathrm{}}`$-r.v. $`L`$ we have the inequality

$$L[|t^{}t|+|s^{}s|]^{k\gamma }Z_{s,t}Z_{s^{},t^{}}L[|t^{}t|+|s^{}s|]^{k\gamma }.$$

Now condition w.r.t. $`_n:=\sigma (\beta _{k/2^n}:k=0,\mathrm{},2^n)`$. Set $`L_n=E[L|_n]`$. It is not hard to see ( \[M\], p216) that $`E[Z|_n]=Z(n)`$. (In the case $`k=2`$, here is where we use $`ij`$.) Hence,

$$L_n[|t^{}t|+|s^{}s|]^{k\gamma }Z_{s,t}(n)Z_{s^{},t^{}}(n)L_n[|t^{}t|+|s^{}s|]^{k\gamma }.$$

Note that $`L_n`$ is an $`L^{\mathrm{}}`$-bounded martingale. By Doob’s $`L^p`$-inequality we see that,

$$C(\omega ):=\underset{n}{sup}L_n(\omega )$$

is also in $`L^{\mathrm{}}`$. Consequently,

$$\underset{s,t,s^{},t^{}}{sup}\frac{|Z_{s,t}(n)Z_{s^{},t^{}}(n)|}{[|t^{}t|+|s^{}s|]^{k\gamma }}L_nC.$$

This implies that the sequence $`(Z(n))`$ is bounded in the Hölder-space $`C^{0,k\gamma }`$. We could have started with $`\gamma +ϵ`$ as long as $`\gamma +ϵ<1/21/p`$. Then the conclusion is boundedness in $`C^{0,k(\gamma +ϵ)}`$ and by compactness there is a convergent subsequence in $`C^{0,k\gamma }`$. But every possible limit point is identified as $`Z`$ itself, since for $`s,t`$ fixed, $`Z_{s,t}(n)Z_{s,t}`$ by martingale convergence. This implies that $`Z(n)`$ actually converges to $`Z`$ in $`C^{0,k\gamma }`$ and the same holds true for the antisymmetric part of $`Z_{s,t}^2`$ itself since all the diagonal, $`i=j`$, is zero.

At last, we need to consider the case

$$Y_{s,t}:=2Z_{s,t}^{2,ii}=\frac{(\beta _t^i\beta _s^i)^2}{|ts|^{2/p}}=(Z_{s,t}^{1,i})^2=:(Z_{s,t})^2.$$

Similarly define $`Y(n),Z(n)`$. We claim that $`Y(n)`$ tends to $`Y`$ in $`C^{0,\gamma }`$. Certainly, for $`s,t`$ fixed $`Y_{s,t}(n)Y_{s,t}`$ which identifies every possible limit point of $`Y(n)`$. Hence it suffices, by the same compactness argument as before, to show that $`Y(n)`$ is uniformly bounded in $`C^{0,\gamma }`$. But $`Y(n)=[Z(n)]^2`$ with $`Z(n)=Z^{1,i}(n)`$ and this last sequence was shown earlier to be uniformly bounded (even convergent) in $`C^{0,\gamma }`$. On the other hand, the map $`xx^2`$ is (locally) Lipschitz, and since $`\{Z(n)\}`$ remains in a ball in $`C^{0,\gamma }`$ we conclude that $`\{Y(n)\}`$ remains in a (possibly larger) ball in $`C^{0,\gamma }`$ as well. The claim is proved.
Together with the earlier results for $`k=2,ij`$ we find that $`\widehat{Z}^2(n)`$, the symmetric part of $`Z^2(n)`$, converges in $`C^{0,\gamma }`$ to $`\widehat{Z}`$. The proof is finished. QED

Proof of Corollary 3.3.

For $`k=1`$ the estimates (3.4) and (3.5) are an immediate consequence of (3.1) and $`Z^1C^{0,\gamma }`$.

Towards $`k=2`$ we first consider the anti-symmetric part of $`\beta _{s,t}^2\beta _{s,t}^2(n)`$. But this is simply bounded by

$$a_1(n,\omega )|ts|^{2/p}$$

where $`a_1(n)`$ denotes the l.h.s. of (3.3). Towards the symmetric part of $`\beta _{s,t}^2\beta _{s,t}^2(n)`$ observe that

$$\widehat{\beta }_{s,t}^{2,ij}=\frac{1}{2}\beta _{s,t}^{1,i}\beta _{s,t}^{1,j}.$$

It suffices to estimate one component of $`\widehat{\beta }^2\widehat{\beta }^2(n)`$, namely,

$`|\beta _{s,t}^{1,i}\beta _{s,t}^{1,j}\beta _{s,t}^{1,i}(n)\beta _{s,t}^{1,j}(n)|`$ $``$ $`|\beta _{s,t}^{1,i}||\beta _{s,t}^{1,j}\beta _{s,t}^{1,j}(n)|`$
$`+|\beta _{s,t}^{1,i}\beta _{s,t}^{1,i}(n)||\beta _{s,t}^{1,j}(n)|`$
for arbitrary $`i,j`$. From (3.1) it follows that

$$|\beta _{s,t}^1\beta _{s,t}^1(n)|a_2(n,\omega )|ts|^{1/p},$$

where $`a_2(n)`$ denotes the l.h.s. of (3.1). Together with the uniform estimates (3.4) we conclude that

$$|\widehat{\beta }_{s,t}^2\widehat{\beta }_{s,t}^2(n)|a_3(n,\omega )|ts|^{2/p},$$

where $`a_3`$ is a deterministic constant times $`C(\omega )a_2`$. For

$$a(n):=\mathrm{max}\{a_1(n),a_3(n)\}$$

estimate (3.5) will then hold true. Also, (3.4) follows by the triangle-inequality and the regularity of $`\beta ^2`$. QED.

### 3.2. Adapted dyadic approximations

Now let $`\omega (n)`$ be the dyadic piecewise linear approximation to a Brownian path $`\omega `$, i.e. piecewise linear from $`\omega _{i/2^n}`$ to $`\omega _{(i+1)/2^n}`$. Note, that $`\omega (n)`$ is not adapted to the Brownian filtration. This suggests to look at the following adapted approximation,

$$\omega _t^{ad}(n)=\omega _{(t2^n)0}(n).$$

We can lift the path $`\omega ^{ad}(n)`$ to make it a (Smooth) Rough Path, which we denote by $`\beta ^{ad}(n)`$. Similarly, and as before, $`\omega (n)`$ is lifted to $`\beta (n)`$.

###### Corollary 3.4.

The Smooth Rough Paths $`\beta ^{ad}(n)`$ converge a.s. to Stratonovich-EBM $`\beta `$ in Hölder-metric $`\rho `$ (and consequently in $`p`$-variation metric $`d`$).

Proof:  Introduce a shift-operator on the path-level s.t. for any path $`x(t)V`$,

$$\tau ^ϵ:x(.)x((.ϵ)0).$$

This lifts to a map on Rough Paths. With $`ϵ=1/2^n`$, Then,

$$\beta ^{ad}(n)=\tau ^ϵ(\beta (n)).$$

In particular, for the second level,

$$\beta _{s,t}^{ad,2}(n)=\beta _{(sϵ)0,(tϵ)0}^2.$$

By the triangle inequality,

$$\rho (\tau ^ϵ(\beta (n)),\beta )\rho (\tau ^ϵ(\beta (n)),\tau ^ϵ(\beta ))+\rho (\tau ^ϵ(\beta ),\beta ).$$

Since $`\rho (\beta (n),\beta )0`$ so does the first term on the r.h.s. ($`\rho `$ is insensitive to shift). So all that remains to show is that $`\rho (\tau ^ϵ(\beta ),\beta )0`$ as $`ϵ`$ tends to zero. Written out, this means

$$\underset{k=1,2}{\mathrm{max}}\underset{0s<t1}{sup}\frac{|\beta _{(sϵ)0,(tϵ)0}^k\beta _{s,t}^k|}{|ts|^{k/p}}$$

goes to zero with $`ϵ`$. We can estimate this by

$$\underset{0s<tϵ}{sup}(\mathrm{})+\underset{0s<ϵt1}{sup}(\mathrm{})+\underset{ϵs<t1}{sup}+(\mathrm{}).$$

Each part is easily seen to converge to $`0`$ with $`ϵ`$ by using the $`(s,t)`$ Hölder-property of $`Z_{s,t}^k=\beta _{s,t}^k/|ts|^{k/p}`$ established in Theorem 3.1. QED

Clearly, the last corollary implies that on path level and in Hölder-norm with exponent less than $`1/p`$,

$$\omega ^{ad}(n)\omega .$$

Then, trivially,

$$T_n(\omega )=\omega \omega ^{ad}(n)+hh,$$

for, say, any piecewise linear dyadic path $`h`$. We will lift this convergence result to Rough Path level. As in \[LQZ\] we shall denote the lifts of dyadic piecewise linear paths by $`𝒟`$, a set of smooth rough paths. Before doing so, recall the Stratonovich enhancement of Brownian motion,

$$\omega \beta _{s,t}(\omega )=(\omega _t\omega _s,\frac{1}{2}(\omega _t\omega _s)^2+A_{s,t})VV^2.$$

Due to the Lévy-area $`A_{s,t}=A_{s,t}(\omega )`$ this is only an a.s. defined function of $`\omega `$ (although we picked a modification, determined up to indistinguishability, s.t. $`(s,t)\beta _{s,t}(\omega )`$ is continuous). We saw in section 2 that $`\beta H\mathrm{\Omega }_p(V)`$ for $`\mu `$-a.e. $`\omega `$. By Girsanov’s theorem, $`\beta (T_n(\omega )`$ is well-defined and in $`H\mathrm{\Omega }_p(V)`$ for $`\mu `$-a.e. $`\omega `$.

###### Corollary 3.5.

The Hölder Rough Paths $`\beta (T_n^h(\omega ))`$ converge a.s. in Hölder-metric $`\rho `$ to the (Smooth) Rough Path $`(h^1,h^2)𝒟`$, associated to the piecewise linear dyadic path $`h(.)`$.

Proof: It suffices to consider the Lévy-area, more specifically off-diagonal term of the 2nd-level. That is, we want to show that, for $`ij`$,

$$\underset{s<t}{sup}\frac{|\beta _{s,t}^{2,ij}(T_n^h(\omega ))h_{s,t}^{2,ij}|}{|ts|^{2/p}}$$

tends to zero. To this end, a Riemann-sum approximation shows that the following expansion holds a.s. (we omit $`s,t`$, the following integrations are understood over the simplex $`\{(u_1,u_2):su_1u_2t\}`$).

$`\beta ^{2,ij}(T_n^h(\omega ))=\beta ^{2,ij}(\omega \omega ^{ad}(n)+h)=h^{2,ij}`$
$`+`$ $`\beta ^{2,ij}(\omega )+{\displaystyle 𝑑\omega ^{ad,i}(n)𝑑\omega ^{ad,j}(n)}{\displaystyle 𝑑\omega ^i𝑑\omega ^{ad,j}(n)}{\displaystyle 𝑑\omega ^{ad,i}(n)𝑑\omega ^j}`$
$`+`$ $`{\displaystyle 𝑑h^i𝑑\omega ^j}{\displaystyle 𝑑h^i𝑑\omega ^{ad,j}(n)}+{\displaystyle 𝑑\omega ^i𝑑h^j}{\displaystyle 𝑑\omega ^{ad,i}(n)𝑑h^j}.`$
(All iterated integrals here make sense as Young-integrals.) Note that the last corollary implies that

(3.6)
$$𝑑\omega ^{ad,i}(n)𝑑\omega ^{ad,j}(n)\beta ^{2,ij}(\omega )$$

w.r.t. the second level part of the metric $`\rho `$ (just keep $`k=2`$ in its definition). Clearly, $`𝑑\omega ^i𝑑\omega ^{ad,j}(n)`$ and $`𝑑\omega ^{ad,i}(n)𝑑\omega ^j`$ are even better approximations to $`\beta ^{2,ij}(\omega )`$ and hence converge to the latter. 555This is easily made precise by partial conditioning in the proof of Theorem 3.1, that is condition w.r.t. the $`i`$th resp. $`j`$th component only. Then all four terms together in the second line (r.h.s.) above will converge to zero.
As for the third line, observe that (3.6) holds for a.e. Brownian path $`\omega `$. By Girsanov’s theorem we have a.s. convergence after replacing $`\omega `$ by $`\omega +h`$. Now use an expansion as before,

$$\beta ^{2,ij}(\omega +h)=\beta ^{2,ij}(\omega )+h^{2,ij}+𝑑h^i𝑑\omega ^j+𝑑\omega ^i𝑑h^j.$$

Similarly, expand

$$d(\omega ^{ad,i}(n)+h^i(n))d(\omega ^{ad,j}(n)+h^j(n)).$$

(Note that $`h(n)=h𝒟`$ for all $`n`$ large enough.) As already mentioned, (3.6) still holds after replacing $`\omega `$ by $`\omega +h`$. Together with the expansions, this gives exactly the required cancelation (as $`n\mathrm{})`$ of the third line above. QED

Remark: The preceding proof involves a perturbation of the rough path $`\beta `$ (essentially) in a Cameron-Martin-type direction, $`(h^1,h^2)`$. Such and more general perturbations have been studied systematically in \[LQ97\], see also \[LQ\]. Indeed, we could have a based our proof on some of their general results.

## 4. A primer on the Universal Limit Theorem

We just summarize and plug together a few statements from \[LQ\]. Set $`V=^d,W=^N`$. As before, $`p(2,3)`$.

Recall that a control function666The reader who does not want to know about control functions may jump to the statement of Theorem 5.1 directly. is, by definition, a non-negative continuous function $`w`$ on $`\{0st1\}`$, super-additive, that is, $`w(s,t)+w(t,u)w(s,u)`$ and hence zero on the diagonal.

###### Theorem 4.1.

Let $`fC^3(W,L(V,W))`$, globally Lipschitz. Then the Itô-map from $`\mathrm{\Omega }_p(V)\mathrm{\Omega }_p(W)`$, obtained from “enhancing”

$$dy=f(y)dx,y(0)=y_0,$$

is continuous w.r.t. the $`p`$-variation metric. Moreover, if $`w=w(s,t)`$ is a control function such that (always for all $`s,t`$)

(4.1)
$$|X_{s,t}^k|,|\widehat{X}_{s,t}^k|w(s,t)^{k/p},k=1,2$$

and

(4.2)
$$|X_{s,t}^k\widehat{X}_{s,t}^k|ϵw(s,t)^{k/p},k=1,2,$$

then there exists a constant $`C=C(\mathrm{max}w)=C(\mathrm{max}w,f,p,y_0)`$ such that

$$|Y_{s,t}^k|,|\widehat{Y}_{s,t}^k|(Cw(s,t))^{k/p},k=1,2$$

and

$$|Y_{s,t}^k\widehat{Y}_{s,t}^k|ϵ(Cw(s,t))^{k/p},k=1,2.$$

Proof:  The fine estimate in terms of control functions $`w`$ are stated and proved in \[LQ\], p163. For the readers convenience, let us quickly show how to obtain continuity w.r.t $`p`$-variation metric $`d(.,.)`$. Assume $`d(X(n),X)0`$. Clearly, for any subquence, $`d(X(n_i),X)0`$. By 777Unfortunately, the cited page contains a misprint. The supremum of superadditive functions may loose this property. However, all this is readily fixed and since we will not rely on the results we leave the corrections to the reader. \[LQ\], p51, there exists a further subsequence $`(n_{i_j}=:n_j)`$ and a control function $`w`$ such that

$$|X_{s,t}^k|,|X_{s,t}^k(n_j)|w(s,t)^{k/p},k=1,2$$

for any $`j`$ and

$$|X_{s,t}^kX_{s,t}^k(n_j)|2^jw(s,t)^{k/p},k=1,2.$$

Hence, by the ULT estimates above,

$$|Y_{s,t}^kY_{s,t}^k(n_j)|2^jCw(s,t)^{k/p},k=1,2.$$

Using the super-additivity this implies $`d(Y(n_j),Y)0`$. Since we were able to extract, from any subsequence, a further convergent subsequence with limit $`Y`$, it is clear that $`d(Y(n),Y)0`$. Hence $`XY`$ is continuous in $`p`$-variation metric. QED.

Remarks:  (1) The fine-estimates exhibit some kind of Lipschitz behavior which is not visible in terms of $`p`$-variation metric.
(2) Since a.s. $`d(\beta (n),\beta )0`$ Theorem (4.1) applies and yields a Wong-Zakai-type result. However, constructing a control $`w`$ as above is certainly a bad idea, since Corollary 3.2 provides us with a much easier control, which indeed controls the whole sequence rather than just a subsequence. Essentially, $`w(s,t)=c|ts|`$ for some (random) constant $`c`$. We will now exploit these observations.

## 5. Lipschitz regularity of the Itô-map for Hölder Rough Paths

###### Theorem 5.1.

Under assumptions on $`f`$ as in Theorem 4.1 the Itô-map $`F:XY`$ is locally Lipschitz-continuous from $`(H\mathrm{\Omega }_p(V),\rho )(H\mathrm{\Omega }_p(W),\rho )`$.

Proof:  Assume $`\rho (X,\widehat{X})ϵ`$. This just means that (always for all $`s,t`$)

$$|X_{s,t}^k\widehat{X}_{s,t}^k|ϵ|ts|^{k/p},k=1,2$$

Introduce an additive control function

$$w(s,t):=(X\widehat{X}1)|ts|.$$

With this choice, the assumptions (4.1) and (4.2) are satisfied and Theorem 4.1 tells us that there exists a constant $`C`$, depending on the maximum of the control $`w`$ and hence only on $`X\widehat{X}`$, such that

$$|Y_{s,t}^k\widehat{Y}_{s,t}^k|ϵ(Cw(s,t))^{k/p},k=1,2.$$

Expanding $`w`$ we obtain, for a new constant $`C`$ depending only on $`X\widehat{X}`$,

$$\rho (Y,\widehat{Y})=Y\widehat{Y}ϵC$$

The conclusion follows. QED

## 6. Application to the Support Theorem

Consider the Stratonovich-SDE

(6.1)
$$dY=f(Y)d\beta $$

with initial condition $`Y(0)=y_0W=^N`$ where $`f=(f_1,\mathrm{},f_d)`$ stands for $`d`$ vector-fields, $`C^3`$ and globally Lipschitz, driven by Brownian motion in $`V=^d`$. (The case of an additional drift-term $`f_0(Y)dt`$ is a trivial generalization of the method below.) In Lyons’ form this corresponds to the differential equation

$$dy=f(y)dx$$

lifted to Rough Paths level and using Stratonovich enhanced BM $`\beta `$ as driving signal. By Theorem 5.1 the corresponding Itô-map $`F:H\mathrm{\Omega }_p(V)H\mathrm{\Omega }_p(W)`$ is continuous w.r.t. the metric $`\rho `$. Since $`F=(F^1,F^2)`$ takes values in $`WW^2`$ there is a natural projection to its underlying path in $`W`$. Set

$$\mathrm{\Phi }_t(\beta )=y_0+[F(\beta )]_{0,t}^1.$$

Note that $`\mathrm{\Phi }`$ is continuous from $`(H\mathrm{\Omega }_p(V),\rho )`$ to $`C^{0,1/p}([0,1],W)`$ with usual Hölder semi-norm (actually norm, since all paths are pinned at $`y_0`$ at time $`0`$). Set

$$\mathrm{\Psi }(\omega )=\mathrm{\Phi }(\beta (\omega )).$$

The map $`\mathrm{\Psi }`$ maps $`C([0,1],V)`$ to $`C^{0,1/p}([0,1],W)`$ and is measurable only (due to $`\omega \beta (\omega )`$) and we will also call it Itô-map (no confusion will arise). Note that

$$Y_t(\omega ):=\mathrm{\Psi }_t(\omega )$$

solves (6.1). Equip $`C([0,1],V)`$ with the standard Wiener-measure $`\mu `$. Our aim is to describe the support of $`(\mathrm{\Psi })_{}\mu =(\mathrm{\Phi })_{}P`$ where $`P`$ is the law of EBM on $`H\mathrm{\Omega }_p(V)`$.

Continuity of the $`\mathrm{\Phi }`$ allows to restrict the discussion to the support of $`P`$ only.

###### Theorem 6.1.

The support of $`P`$ equals the $`\rho `$-closure of $`𝒟`$.

Proof:

From Corollary 3.4 resp. Corollary 3.5, a.s. and in $`\rho `$-metric,

$$\beta ^{ad}(n)(\omega )\beta (\omega ),\beta (\omega \omega ^{ad}(n)+h)(h^1,h^2),$$

for arbitrary $`(h^1,h^2)𝒟`$. The first convergence implies that supp $`P`$ is contained in the $`\rho `$-closure of $`𝒟`$. The second convergence result shows, in particular, convergence in probability of $`\beta (\omega \omega ^{ad}(n)+h)(h^1,h^2)`$. This means that the probability of being within an $`ϵball`$ from $`(h^1,h^2)`$ tends to $`1`$, hence is positive for $`n`$ large enough. By Girsanov’s theorem the same is true for $`\beta (\omega )`$. Hence we get to other desired inclusdion, $`𝒟`$ is contained in supp $`P`$. (This argument is due to \[MS\]).

Remark: As in \[LQZ\] the closure of $`𝒟`$ is seen to coincide with the closure of the natural lift of the Cameron-Martin space. This also follows from the results in \[FV\].

Remarking that solving a rough differential equation driven by a smooth rough path amounts to solve a controlled ODE ( \[LQ\], p164) we have

###### Corollary 6.2.

The law of the diffusion-process $`Y`$ in equation (6.1), that is, $`(\mathrm{\Psi })_{}\mu `$ is the ($`1/p`$-Hölder) closure of the solutions to the control ODE,

$$dy=f(y)dh$$

for all $`h𝒟`$.

(Similarly, one can obtain a support description for the rough path solution to (6.1).)

## Appendix A Proof of Lemma (2.2)

Proof. To avoid trivialities assume $`s<t`$, $`s^{}<t^{}`$. W.l.o.g. $`ss^{}`$. Then

$`E[|X_{s,t}X_{s^{},t^{}}|^2]`$ $`=`$ $`E[|X_{s,t}|^2]2E[X_{s,t}X_{s^{},t^{}}]+E[|X_{s^{},t^{}}|^2]`$
$`=`$ $`{\displaystyle \frac{1}{2}}|ts|^{22\alpha }2E[X_{s,t}X_{s^{},t^{}}]+{\displaystyle \frac{1}{2}}|t^{}s^{}|^{22\alpha }.`$
To deal with the middle part we distinguish between a few cases.

Case i) $`ts^{}`$. By independence of Brownian increments,

$`E[|X_{s,t}X_{s^{},t^{}}|^2]`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left(|ts|^{22\alpha }+|t^{}s^{}|^{22\alpha }\right)`$
$``$ $`{\displaystyle \frac{1}{2}}\left(|s^{}s|^{22\alpha }+|t^{}t|^{22\alpha }\right)`$
$``$ $`\left({\displaystyle \frac{|s^{}s|+|t^{}t|}{2}}\right)^{22\alpha }`$
$`=`$ $`c(\alpha )\left(|s^{}s|+|t^{}t|\right)^{22\alpha }`$
where we used $`\alpha [1/2,1)`$ for the last inequality.

Case ii.1) $`ss^{}<tt^{}`$. Since $`X_{s,t}X_{s^{},t^{}}=X_{s,t}X_{s^{},t}+X_{s^{},t}X_{s^{},t^{}}`$ we estimate seperatley $`E[|X_{s,t}X_{s^{},t}|^2]`$ and $`E[|X_{s^{},t}X_{s^{},t^{}}|^2].`$ As for the first, the cross-term is readily computed via Ito’s isometry and we have

$$E[|X_{s,t}X_{s^{},t}|^2]=\frac{1}{2}|ts|^{22\alpha }\frac{|ts^{}|^{2\alpha }}{|ts|^\alpha }+\frac{1}{2}|ts^{}|^{22\alpha }.$$

The r.h.s. is indeed bounded by a constant times $`|s^{}s|^{22\alpha }`$ as follows from the lemma below with $`a=s^{}s,b=ts^{}`$. As for the second, we get

$$E[|X_{s^{},t}X_{s^{},t^{}}|^2]=\frac{1}{2}|ts^{}|^{22\alpha }\frac{|t^{}s^{}|^{2\alpha }}{|ts^{}|^\alpha }+\frac{1}{2}|t^{}s^{}|^{22\alpha }.$$

Choose $`a=t^{}t,b=ts^{}`$ and again apply the lemma. Both together yield the required estimate,

$$E[|X_{s,t}X_{s^{},t^{}}|^2]c(|s^{}s|+|t^{}t|)^{22\alpha }.$$

Case ii.2) $`ss^{}t^{}t`$ Similar. QED

###### Lemma A.1.

For non-negative real numbers $`a,b`$, $`\alpha (0,1)`$ one has

$$\frac{1}{2}(a+b)^{22\alpha }\frac{b^{2\alpha }}{(a+b)^\alpha }+\frac{1}{2}b^{22\alpha }ca^{22\alpha }$$

for some constant $`c=c(\alpha )`$.

Proof:  Divide the l.h.s. by $`a^{22\alpha }`$ and observe that it is a continuous function of $`x=b/a[0,\mathrm{})`$. An easy expansion shows that everything stays bounded as $`x\mathrm{}`$. The lemma follows.

Acknowledgement:  Thanks to S.Varadhan, G. Ben Arous and N. Victoir for related discussions, to E. Kosygina for reading an early draft. The author also acknowledges gratefully financial support by the Austrian Academy of Science.