A proof of the additivity of rough integral

DOI10.1142/S0219493724500060MaRDI QIDQ6540657zbMATHFDO

Authors Yu Ito

Publication date 17 May 2024

Published in Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

fractional derivativeStieltjes integralrough path

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Fuzzy real analysis (26E50)

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Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• A course on rough paths. With an introduction to regularity structures
• A fractional calculus approach to rough integration
• An inequality of the Hölder type, connected with Stieltjes integration
• Averaging principle for fast-slow system driven by mixed fractional Brownian rough path
• Controlling rough paths
• Convergence of delay equations driven by a Hölder continuous function of order \(1/3<\beta<1/2\)
• Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\)
• Differential equations driven by rough signals
• Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter \(H \in (\frac13, \frac12)\)
• Extension theorem for rough paths via fractional calculus
• Integrals along rough paths via fractional calculus
• Integration of controlled rough paths via fractional calculus
• Integration with respect to fractal functions and stochastic calculus. I
• Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters \(H\in (1/3,1/2]\)
• Local stability of differential equations driven by Hölder-continuous paths with Hölder index in \((1/3,1/2)\)
• Local unstable manifolds for stochastic dynamical systems with fractional noise with Hurst index in \((1/3,1/2]\): a fractional calculus approach
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Random dynamical systems for stochastic evolution equations driven by multiplicative fractional Brownian noise with Hurst parameters \(H\in(1/3,1/2]\)
• Rough integration via fractional calculus
• Rough path analysis via fractional calculus
• System Control and Rough Paths

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