A Fourier analytic approach to pathwise stochastic integration

DOI10.1214/16-EJP3868zbMATH Open1338.60139arXiv1410.4006MaRDI QIDQ287682FDOQ287682

Authors: Massimiliano Gubinelli, P. Imkeller, Nicolas Perkowski 

Publication date: 23 May 2016

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

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.

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

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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)

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