Recovering the pathwise Itô solution from averaged Stratonovich solutions

DOI10.1214/16-ECP3795zbMATH Open1338.60148MaRDI QIDQ287779FDOQ287779

Terence J. Lyons, Danyu Yang

Publication date: 23 May 2016

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

Full work available at URL: https://projecteuclid.org/euclid.ecp/1454682823

zbMATH Keywords

rough paths theoryStratonovich solutionpathwise Itō solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17)

Cited In (2)

• A simple proof of distance bounds for Gaussian rough paths
• Differential equations driven by rough paths with jumps

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