Rough path analysis via fractional calculus

DOI10.1090/S0002-9947-08-04631-XzbMath1175.60061arXivmath/0602050MaRDI QIDQ3625582

David Nualart, Yaozhong Hu

Publication date: 5 May 2009

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602050

zbMATH Keywords

stabilitystochastic differential equationdifferential equationconvergence ratefractional calculusintegration by partsintegralWong-Zakai approximationrough path

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Fractional derivatives and integrals (26A33) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Stochastic integrals (60H05) Rough paths (60L20)

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Cites Work

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