A stochastic sewing lemma and applications (Q2184597)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic sewing lemma and applications |
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A stochastic sewing lemma and applications (English)
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29 May 2020
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In this paper, the author introduced a stochastic version of Gubinelli's sewing lemma and established a sufficient condition for the convergence in moments of some random Riemann sums. Based on this, the regularity restriction is improved by a half. Moreover, the author showed a Doob-Meyertype decomposition through the limiting process and provided relations with Itô calculus. Finally, the author investigated stochastic differential equations driven by Brownian motions or fractional Brownian motions with irregular drifts using the stochastic sewing lemma.
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sewing lemma
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Doob-Meyer decomposition
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rough paths
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regularization by noise
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stochastic differential equations
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fractional Brownian motion
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additive functional
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chaos expansion.
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