Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes (Q6120831): Difference between revisions

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scientific article; zbMATH DE number 7824100

Language	Label	Description	Also known as
English	Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes	scientific article; zbMATH DE number 7824100

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scholarly article

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Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes (English)

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Francesco Russo

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publication date

26 March 2024

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full work available at URL

https://arxiv.org/abs/2206.06865

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https://projecteuclid.org/journals/bernoulli/volume-30/issue-2/Rough-paths-and-symmetric-Stratonovich-integrals-driven-by-singular-covariance/10.3150/23-BEJ1629.full

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zbMATH Keywords

rough paths

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Stratonovich integrals

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MaRDI profile type

MaRDI publication profile

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Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)

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Stochastic calculus with respect to Gaussian processes

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Stochastic integration with respect to the fractional Brownian motion

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Approximation of SDEs: a stochastic sewing approach

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Non-degeneracy of Wiener functionals arising from rough differential equations

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A Stratonovich-Skorohod integral formula for Gaussian rough paths

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Skorohod and rough integration for stochastic differential equations driven by Volterra processes

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Integrability and tail estimates for Gaussian rough differential equations

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Smoothness of the density for solutions to Gaussian rough differential equations

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Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)

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Good rough path sequences and applications to anticipating stochastic calculus

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Stochastic analysis, rough path analysis and fractional Brownian motions.

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On stochastic calculus related to financial assets without semimartingales

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Nonsemimartingales: stochastic differential equations and weak Dirichlet processes

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A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion

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\(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.

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Curvilinear integrals along enriched paths

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A course on rough paths. With an introduction to regularity structures

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Convergence rates for the full Gaussian rough paths

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Multidimensional Stochastic Processes as Rough Paths

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Differential equations driven by Gaussian signals

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The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory

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Forward integration of bounded variation coefficients with respect to Hölder continuous processes

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Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales

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Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).

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\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index

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Controlling rough paths

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On Stratonovich and Skorohod stochastic calculus for Gaussian processes

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Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions

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Wiener integrals, Malliavin calculus and covariance measure structure

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A stochastic sewing lemma and applications

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First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case

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Differential equations driven by rough signals

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Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion

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The Malliavin Calculus and Related Topics

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Stochastic calculus with anticipating integrands

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Pathwise stochastic integrals for model free finance

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Jensen's inequality for a convex vector-valued function on an infinite-dimensional space

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On bifractional Brownian motion

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Forward, backward and symmetric stochastic integration

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Elements of Stochastic Calculus via Regularization

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Skorohod and Stratonovich integrals for controlled processes

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On the relation between ordinary and stochastic differential equations

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Identifiers

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.3150/23-BEJ1629

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Sitelinks

Mathematics(1 entry)

mardi Publication:6120831

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