Semi-martingales and rough paths theory
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Publication:850363
DOI10.1214/EJP.v10-162zbMath1109.60035MaRDI QIDQ850363
Publication date: 3 November 2006
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/127168
Generalizations of martingales (60G48) Stochastic integrals (60H05) Functional limit theorems; invariance principles (60F17)
Related Items (20)
ESTIMATES FOR THE SOLUTION TO STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER H ∈ (⅓, ½) ⋮ Optimal extension to Sobolev rough paths ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ Optimal Execution with Rough Path Signatures ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ The non-linear sewing lemma III: stability and generic properties ⋮ Differential equations driven by rough paths with jumps ⋮ Canonical RDEs and general semimartingales as rough paths ⋮ Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem ⋮ On \((p,q)\)-rough paths ⋮ Stochastic differential equations driven by processes generated by divergence form operators II: convergence results ⋮ Convergence of delay equations driven by a H\"older continuous function of order $\beta\in(\frac13,\frac12)$ ⋮ Pathwise stochastic integrals for model free finance ⋮ Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\) ⋮ Discretely sampled signals and the rough Hoff process ⋮ Rough path analysis via fractional calculus ⋮ Rough path limits of the Wong-Zakai type with a modified drift term ⋮ Rough invariance principle for delayed regenerative processes ⋮ Yet another introduction to rough paths ⋮ Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
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