Rough semimartingales and \(p\)-variation estimates for martingale transforms
From MaRDI portal
Publication:6160455
DOI10.1214/22-aop1598arXiv2008.08897MaRDI QIDQ6160455
Peter K. Friz, Pavel Zorin-Kranich
Publication date: 10 May 2023
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.08897
60G44: Martingales with continuous parameter
60H05: Stochastic integrals
60G46: Martingales and classical analysis
60L20: Rough paths
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Propagation of chaos for interacting particles subject to environmental noise
- Robust filtering: correlated noise and multidimensional observation
- Backward stochastic differential equations with rough drivers
- Variational estimates for paraproducts
- Calderón commutators and the Cauchy integral on Lipschitz curves revisited II: The Cauchy integral and its generalizations
- A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
- Variational estimates for the bilinear iterated Fourier integral
- Averaging dynamics driven by fractional Brownian motion
- Ramification of rough paths
- Semi-martingales and rough paths theory
- Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
- Pointwise ergodic theorems for arithmetic sets. With an appendix on return-time sequences, jointly with Harry Furstenberg, Yitzhak Katznelson and Donald S. Ornstein
- Fundamentals of stochastic filtering
- Differential equations driven by Gaussian signals
- The strong p-variation of martingales and orthogonal series
- Stochastic integration and \(L^ p-\)theory of semimartingales
- Differential equations driven by rough signals
- A Fefferman-Stein inequality for the martingale square and maximal functions
- Differential equations driven by rough paths with jumps
- Canonical RDEs and general semimartingales as rough paths
- Uniform estimates on paraproducts.
- Gaussian measures in \(B_p^1\)
- \(p\)-variation of strong Markov processes.
- Controlling rough paths
- Additive functionals as rough paths
- Weighted Lépingle inequality
- A stochastic sewing lemma and applications
- Geometric versus non-geometric rough paths
- Variational estimates for martingale paraproducts
- Multiscale systems, homogenization, and rough paths
- Jump inequalities via real interpolation
- General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula
- On the integrability of the martingale square function
- Exact asymptotic estimates of Brownian path variation
- \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- Multidimensional Stochastic Processes as Rough Paths
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
- Strong variational and jump inequalities in harmonic analysis
- La variation d'ordre p des semi-martingales
- Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
- Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
- Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac
- Path-wise solutions of stochastic differential equations driven by Lévy processes
