An It\^o-Wentzell formula for rough paths

arXiv2206.09905MaRDI QIDQ6402629FDOQ6402629

Authors: Rafael A. Castrequini, Pedro J. Catuogno, Alvaro E. Machado Hernandez 

Publication date: 20 June 2022

Abstract: This article shows an It^o-Wentzell type formula adapted to rough paths with $alpha$-H"older regularity $alphain(frac13,frac12]$. We improve previous results of R. Castrequini and P. Catuogno for the Young integral and C. Keller and J. Zhang for rough paths.

Mathematics Subject Classification ID

Rough paths (60L20) Applications of rough analysis (60L90)

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