scientific article

zbMath1156.60027arXivmath/0608783MaRDI QIDQ3526646

Nicolas Victoir, Peter K. Friz

Publication date: 25 September 2008

Full work available at URL: https://arxiv.org/abs/math/0608783

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Burkholder-Davis-Gundy inequalitygeometric rough pathsstochastic area processfinite homogeneous \(p\)-variationfinite Multi-fimensional continuous local martingaleMulti-fimensional continuous local martingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Lyapunov stability analysis for nonlinear delay systems under random effects and stochastic perturbations with applications in finance and ecology ⋮ Expected signature of Brownian motion up to the first exit time from a bounded domain ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ Differential equations driven by rough paths with jumps ⋮ Variational estimates for paraproducts ⋮ Variational estimates for the bilinear iterated Fourier integral ⋮ Variational estimates for martingale paraproducts ⋮ Additive functionals as rough paths ⋮ Rough path limits of the Wong-Zakai type with a modified drift term ⋮ Besov rough path analysis (with an appendix by Pavel Zorin-Kranich) ⋮ Unified signature cumulants and generalized Magnus expansions

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