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

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

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
• Differential equations driven by fractional Brownian motion
• 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 \(H \in (\frac13, \frac12)\)
• Extension theorem for rough paths via fractional calculus
• 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

(12)

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

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)