A Fourier analytic approach to pathwise stochastic integration

DOI10.1214/16-EJP3868MaRDI QIDQ287682zbMATHFDO

Authors Massimiliano Gubinelli, P. Imkeller, Nicolas Perkowski

Publication date 23 May 2016

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

Full work available at URL https://arxiv.org/abs/1410.4006

zbMATH Keywords

stochastic differential equationsparacontrolled calculusrough pathsstochastic integrationSchauder functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Abstract: We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate, and it leads to recursive algorithms for the calculation of pathwise stochastic integrals, both of It^o and of Stratonovich type. We apply it to solve stochastic differential equations in a pathwise manner.

Recommendations

• A Fourier analysis based new look at integration
• Pathwise stochastic integrals for model free finance
• Integration of controlled rough paths via fractional calculus
• Quasi-integrals and stochastic integration along sample paths
• Differential equations driven by rough paths with jumps

Cited in

(15)

• Paracontrolled distribution approach to stochastic Volterra equations
• scientific article; zbMATH DE number 5020098 (Why is no real title available?)
• Optimal local well-posedness for the periodic derivative nonlinear Schrödinger equation
• KPZ reloaded
• Almost sure approximations in Hölder norms of a general stochastic process defined by a Young integral
• Parameter identification for the Hermite Ornstein-Uhlenbeck process
• Step roots of Littlewood polynomials and the extrema of functions in the Takagi class
• Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
• Pathwise stochastic integrals for model free finance
• scientific article; zbMATH DE number 7709546 (Why is no real title available?)
• Homogeneous Besov spaces
• A Fourier analysis based new look at integration
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
• Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation
• Stochastic integration based on simple, symmetric random walks

This page was built for publication: A Fourier analytic approach to pathwise stochastic integration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q287682)