Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients

DOI10.1016/j.spa.2015.09.018zbMath1333.60113arXiv1412.7464OpenAlexW2963225207MaRDI QIDQ5962606

Jianfeng Zhang, Christian Keller

Publication date: 15 February 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.7464

zbMATH Keywords

characteristicsstochastic PDEsrough pathsfunctional Itō calculusItō-Ventzell formulapath derivativesrough PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Foundations of stochastic processes (60G05)

Related Items (7)

A weak version of path-dependent functional Itô calculus ⋮ Rough differential equations with path-dependent coefficients ⋮ Dynamic approaches for some time-inconsistent optimization problems ⋮ Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ On nonlinear rough paths ⋮ Stochastic viscosity solutions for stochastic integral-partial differential equations

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