Rough integration via fractional calculus

DOI10.2748/TMJ/1585101620MaRDI QIDQ2179714zbMATH OpenOpenAlexFDO

Authors Yu Ito

Publication date 13 May 2020

Published in Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.tmj/1585101620

zbMATH Keywords

fractional derivativerough pathStieltjes integral

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Stochastic integrals (60H05)

Review text

In this paper, sufficient conditions on Hölder rough paths for which the integrals earlier obtained by this author in [J. Math. Soc. Japan 69, No. 3, 893--912 (2017; Zbl 1379.26012)] is consistent with that obtained by the usual integration theory of rough path analysis obtained by limit of the compensated Riemann-Stieltjes sums. Furthermore, it was also shown that a suitable class of Hölder rough paths including geometric Hölder paths satisfies this conditions.

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• Integration with respect to Hölder rough paths of order greater than 1/4: an approach via fractional calculus
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Cites work

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• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• Integrals along rough paths via fractional calculus
• Integration of controlled rough paths via fractional calculus
• Integration with respect to fractal functions and stochastic calculus. I
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Cited in

(8)

• Integration with respect to Hölder rough paths of order greater than 1/4: an approach via fractional calculus
• A fractional calculus approach to rough integration
• Integration of controlled rough paths via fractional calculus
• Integrals along rough paths via fractional calculus
• Rough path analysis via fractional calculus
• A Fubini type theorem for rough integration
• BACKWARD REPRESENTATION OF THE ROUGH INTEGRAL: AN APPROACH BASED ON FRACTIONAL CALCULUS
• A proof of the additivity of rough integral

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