General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula

From MaRDI portal
Revision as of 21:32, 2 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:2406573


DOI10.1214/16-AOP1123zbMath1412.60103arXiv1212.5888MaRDI QIDQ2406573

Atul Shekhar, Peter K. Friz

Publication date: 5 October 2017

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.5888


60H99: Stochastic analysis


Related Items

VARIETIES OF SIGNATURE TENSORS, Examples of Itô càdlàg rough paths, Quasi‐shuffle algebras and renormalisation of rough differential equations, Algebraic structures and stochastic differential equations driven by Lévy processes, Unified signature cumulants and generalized Magnus expansions, Signature-Based Models: Theory and Calibration, Adapted topologies and higher rank signatures, Rough semimartingales and \(p\)-variation estimates for martingale transforms, Causal functional calculus, Itô-Föllmer calculus in Banach spaces. I: The Itô formula, A càdlàg rough path foundation for robust finance, Quasi-geometric rough paths and rough change of variable formula, Pathwise stochastic integrals for model free finance, A support and density theorem for Markovian rough paths, Differential equations driven by rough paths with jumps, Canonical RDEs and general semimartingales as rough paths, Random transformations and invariance of semimartingales on Lie groups, Sweeping processes perturbed by rough signals, Smooth rough paths, their geometry and algebraic renormalization, Deterministic homogenization under optimal moment assumptions for fast-slow systems. II, Penalisation techniques for one-dimensional reflected rough differential equations, Superdiffusive limits for deterministic fast-slow dynamical systems, Paracontrolled distribution approach to stochastic Volterra equations, Càdlàg rough differential equations with reflecting barriers, Remarks on Föllmer's pathwise Itô calculus, An isomorphism between branched and geometric rough paths, A rough path perspective on renormalization, Random walks and Lévy processes as rough paths