Lévy's area under conditioning

DOI10.1016/J.ANIHPB.2005.02.003MaRDI QIDQ2490108zbMATH OpenOpenAlexFDO

Authors Peter Friz, Terence J. Lyons, Daniel W. Stroock

Publication date 28 April 2006

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_2006__42_1_89_0, http://www.numdam.org/item?id=AIHPB_2006__42_1_89_0/, https://eudml.org/doc/77889

zbMATH Keywords

Brownian motionsupport theoremrough pathHölder topology

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Stochastic integrals (60H05)

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Cited in

(13)

• Good rough path sequences and applications to anticipating stochastic calculus
• Support theorem for a singular SPDE: the case of gPAM
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
• Partial differential equations driven by rough paths
• A variation embedding theorem and applications
• Tube estimates for diffusion processes under a weak Hörmander condition
• Tube estimates for diffusions under a local strong Hörmander condition
• Densities for rough differential equations under Hörmander's condition
• Diagnostic of the Lévy area for geophysical flow models in view of defining high order stochastic discrete-time schemes
• Euler estimates for rough differential equations
• On uniformly subelliptic operators and stochastic area
• Non-degeneracy of Wiener functionals arising from rough differential equations
• Rough path stability of (semi-)linear SPDEs

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