A Stratonovich-Skorohod integral formula for Gaussian rough paths

DOI10.1214/18-AOP1254zbMath1447.60062arXiv1604.06846WikidataQ128746617 ScholiaQ128746617MaRDI QIDQ1731883

Nengli Lim, Thomas Cass

Publication date: 14 March 2019

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

Full work available at URL: https://arxiv.org/abs/1604.06846

zbMATH Keywords

Gaussian processesMalliavin calculusPoisson point processesrough paths theoryextremal processesgeneralized Itô-Stratonovich correction formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Rough paths (60L20)

Related Items (8)

Skorohod and Stratonovich integrals for controlled processes ⋮ Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\) ⋮ Variational principles for fluid dynamics on rough paths ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ Non‐geometric rough paths on manifolds ⋮ Skorohod and rough integration for stochastic differential equations driven by Volterra processes ⋮ Young-Stieltjes integrals with respect to Volterra covariance functions ⋮ Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises

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