On Stratonovich and Skorohod stochastic calculus for Gaussian processes
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Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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.
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Cited in
(16)- Itô's formula for Gaussian processes with stochastic discontinuities
- On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)
- Skorohod and rough integration for stochastic differential equations driven by Volterra processes
- Mean-field backward stochastic differential equations driven by fractional Brownian motion
- Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\)
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
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- Stochastic integration with respect to Gaussian processes.
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- Skorohod and Stratonovich integrals for controlled processes
- Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\)
- Central limit theorem for a Stratonovich integral with Malliavin calculus
- An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach
- Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
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