Skorohod and Stratonovich integration in the plane

DOI10.1214/EJP.V20-3041MaRDI QIDQ2515906zbMATH OpenFDO

Authors S. Tindel, Khalil Chouk

Publication date 7 August 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.6604

zbMATH Keywords

Malliavin calculusrough pathSkorokhod integrationstochastic calculusStratonovich integrationYoung integrals

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Gaussian processes (60G15) Random fields (60G60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: This article gives an account on various aspects of stochastic calculus in the plane. Specifically, our aim is 3-fold: (i) Derive a pathwise change of variable formula for a path indexed by a square, satisfying some H"older regularity conditions with a H"older exponent greater than 1/3. (ii) Get some Skorohod change of variable formulas for a large class of Gaussian processes defined on the suqare. (iii) Compare the bidimensional integrals obtained with those two methods, computing explicit correction terms whenever possible. As a byproduct, we also give explicit forms of corrections in the respective change of variable formulas.

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