Doob--Meyer for rough paths

zbMath1297.60037arXiv1205.2505MaRDI QIDQ5747108

Atul Shekhar, Peter K. Friz

Publication date: 11 February 2014

Full work available at URL: https://arxiv.org/abs/1205.2505

zbMATH Keywords

Doob-Meyer decompositionrough pathsHörmander theoryfine properties of stochastic processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths ⋮ Averaging along irregular curves and regularisation of ODEs ⋮ Pathwise integration with respect to paths of finite quadratic variation ⋮ Existence of densities for the dynamic \(\Phi^4_3\) model ⋮ Smoothness of the density for solutions to Gaussian rough differential equations ⋮ KPZ reloaded ⋮ Stochastic ODEs and stochastic linear PDEs with critical drift: regularity, duality and uniqueness ⋮ Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients ⋮ Existence of densities for stochastic evolution equations driven by fractional Brownian motion ⋮ C∞− regularization of ODEs perturbed by noise

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