Integrals along rough paths via fractional calculus

DOI10.1007/S11118-014-9428-3zbMATH Open1314.26011OpenAlexW1984755064MaRDI QIDQ2512911FDOQ2512911

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

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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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zbMATH Keywords

fractional derivativesrough pathsStieltjes integrals

Mathematics Subject Classification ID

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

Cites Work

• Differential equations driven by fractional Brownian motion
• Title not available (Why is that?)
• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by rough signals
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Rough path analysis via fractional calculus
• System Control and Rough Paths
• 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.
• Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter \(H \in (\frac13, \frac12)\)
• Extension theorem for rough paths via fractional calculus

Cited In (12)

• BACKWARD REPRESENTATION OF THE ROUGH INTEGRAL: AN APPROACH BASED ON FRACTIONAL CALCULUS
• Nonlinear Young integrals via fractional calculus
• A fractional calculus approach to rough integration
• Integration of controlled rough paths via fractional calculus
• 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 path analysis via fractional calculus
• Rough integration via fractional calculus
• 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
• A proof of the additivity of rough integral
• Extension theorem for rough paths via fractional calculus
• On pathwise Riemann-Stieltjes integrals

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