A Stratonovich-Skorohod integral formula for Gaussian rough paths (Q1731883): Difference between revisions

Consider a \(\mathbb{R}^d\)-valued Gaussian process \(X\) which has i.i.d. components, the covariance function \(R(\cdot,\cdot)\) of such a component, and numbers \(T>0\), \(2\le p< 3\), \(1\le \rho <3/2\), \(0<C<\infty\). Assume that \(R\) has finite 2D \(\rho\)-variation and that its \(\rho\)-variation norm on \([0,T]\) satisfies: \(\|R(t,\cdot) - R(s,\cdot)\|_{\rho-\mathrm{var},T} \le C |t-s|^{1/\rho}\). Let \(\mathbf{X}\) denote the canonical lift of \({X}\) to a geometric \(p\)-rough path. Let \(V\in C^6_b(\mathbb{R}^d, \mathbb{R}^d\otimes\mathbb{R}^d)\) and \(Y\) be the \(\mathbb{R}^d\)-valued solution to the rough differential equation \(Y_t = y_0 + \int_0^t V(Y_s)\circ d\mathbf{X}_s\), which has finite \(p\)-variation on \([0,T]\). Then the authors establish the following generalization, to a rough integral, of the usual Itô-Stratonovich correction formula: \begin{multline*} \int_0^T \langle Y_t,\circ d\mathbf{X}_t\rangle = \int_0^T \langle Y_t, d{X}_t\rangle + \frac{1}{2} \int_0^T \operatorname{tr}\big[V(Y_t)\big] dR(t,t) \\ + \int_{[0,T]^2} 1_{\{s<t\}} \operatorname{tr}\big[J_t^{\mathbf{X}}(J_s^{\mathbf{X}})\1V(Y_s) - V(Y_t)\big] dR(s,t) , \end{multline*} where \(J_t^{\mathbf{X}}\) denotes the Jacobian of the flow map \(y_0\mapsto Y_t\), and the last integral is a proper 2D Young-Stieltjes integral.