On Stratonovich and Skorohod stochastic calculus for Gaussian processes
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Publication:373592
DOI10.1214/12-AOP751zbMATH Open1274.60219arXiv1101.3441OpenAlexW2064428637MaRDI QIDQ373592FDOQ373592
Authors: Yaozhong Hu, Maria Jolis, S. Tindel 
Publication date: 17 October 2013
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: In this article, we derive a Stratonovich and Skorohod type change of variables formula for a multidimensional Gaussian process with low H"older regularity (typically lower than 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis.
Full work available at URL: https://arxiv.org/abs/1101.3441
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Cited In (16)
- Skorohod and Stratonovich integration in the plane
- Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
- Itô's formula for Gaussian processes with stochastic discontinuities
- Central limit theorem for a Stratonovich integral with Malliavin calculus
- Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\)
- Stochastic integration with respect to Gaussian processes.
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- A Stratonovich-Skorohod integral formula for Gaussian rough paths
- Skorohod and Stratonovich integrals for controlled processes
- Skorohod and rough integration for stochastic differential equations driven by Volterra processes
- Mean-field backward stochastic differential equations driven by fractional Brownian motion
- An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach
- Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\)
- On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
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