Integrals along rough paths via fractional calculus

DOI10.1007/S11118-014-9428-3MaRDI QIDQ2512911zbMATH OpenOpenAlexFDO

Authors Yu Ito

Publication date 2 February 2015

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11118-014-9428-3

zbMATH Keywords

fractional derivativesrough pathsStieltjes integrals

Mathematics Subject Classification ID

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

Review text

By introducing an integral along \(\beta\)-Hölder rough paths for any \(\beta \in (0,1]\) using the concept of fractional calculus, a natural generalization of the Riemann-Stieltjes integral along smooth curves is obtained. In addition, it is proved that under suitable conditions on the integrand, this integral is a continuous functional with respect to the Hölder topology.

Recommendations

• 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
• Rough integration via fractional calculus
• Rough path analysis via fractional calculus
• Extension theorem for rough paths via fractional calculus

Cites work

• Differential equations driven by fractional Brownian motion
• Differential equations driven by Hölder continuous functions of order greater than 1/2
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Differential equations driven by rough signals
• Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H (13, 12)
• Extension theorem for rough paths via fractional calculus
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• Integration with respect to fractal functions and stochastic calculus. I
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Rough path analysis via fractional calculus
• System Control and Rough Paths

Cited in

(13)

• The pathway fractional integrals of incomplete \(I\)-functions
• Integration with respect to Hölder rough paths of order greater than 1/4: an approach via fractional calculus
• Rough integration via fractional calculus
• A fractional calculus approach to rough integration
• On pathwise Riemann-Stieltjes integrals
• Extension theorem for rough paths via fractional calculus
• Integration of controlled rough paths via fractional calculus
• Nonlinear Young integrals via fractional calculus
• Rough path analysis via fractional calculus
• BACKWARD REPRESENTATION OF THE ROUGH INTEGRAL: AN APPROACH BASED ON FRACTIONAL CALCULUS
• A proof of the additivity of rough integral
• On the uniqueness of higher order Gubinelli derivatives and an analogue of the Doob-Meyer theorem for rough paths of the arbitrary positive Hölder index
• Variability and the existence of rough integrals with irregular coefficients

This page was built for publication: Integrals along rough paths via fractional calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2512911)