Enhanced Brownian motion (${\mathbf{B}}_{s,t}=(1,B_t-B_s,{\int }_s^t(B_r-B_s)\otimes \circ d{B}_r)$)

The Stratonovich enhancement of Brownian motion is a geometric $p$-rough path for every $p>2$. Its second level consists of Lévy area and the prescribed symmetric tensor. Its increments satisfy the Chen identity and have finite Hölder rough-path norms at every exponent below $1/2$.

For every $2<p<3$ and every positive radius, the canonical Brownian enhancement has positive probability of lying in the displayed rough path metric ball. This controls both displacement and area. Together with Cameron-Martin quasi-invariance of enhanced Brownian motion, it puts every lifted Cameron-Martin control in the support of enhanced Brownian motion.

For $2<p<3$, the support of a measure of enhanced Brownian motion is the rough-path closure of path signatures of paths in the Cameron-Martin space of Wiener measure. Polygonal convergence gives one inclusion. For the reverse inclusion, decompose Brownian motion into its polygonal interpolation and independent pinned bridges. The bridge enhancement becomes small in probability as the mesh decreases, while every finite-dimensional neighborhood of the polygonal vertices has positive Gaussian probability. Rough path translation then gives positive probability in every ball around a prescribed control path signature.

For deterministic nested partitions with mesh tending to zero, lift the polygonal interpolation of Brownian motion by its ordinary iterated integrals. These path signatures converge almost surely to enhanced Brownian motion in every Hölder rough-path metric of exponent below $1/2$, hence in $p$-variation for $p>2$. Conditioning on the partition values gives a nested martingale for the first level and the off-diagonal second levels. Moment bounds and interpolation upgrade pointwise convergence to convergence in the rough path metric.

Condition on the Brownian values at a dyadic mesh. First-level increments and antisymmetric area increments of its polygonal lift are conditional expectations of the corresponding Brownian increments. Conditional Jensen inequalities and the homogeneous degree-two norm give the displayed bound. The Doob maximal inequality makes the right-hand side uniformly finite almost surely when the Brownian Hölder norm has sufficiently many moments. Dense-time martingale convergence and equicontinuity then yield simultaneous convergence at every time.