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On Stratonovich and Skorohod stochastic calculus for Gaussian processes
Abstract : In this article, we derive a Stratonovich and Skorohod type change of variables formula for a multidimensional Gaussian process with low Hölder regularity (typically lower than 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis.
Cited literature [28 references]
https://hal.inria.fr/hal-00556955
Contributor : Samy Tindel Connect in order to contact the contributor
Submitted on : Tuesday, January 18, 2011 - 10:54:39 AM
Last modification on : Tuesday, May 3, 2022 - 3:29:37 PM
Long-term archiving on: : Tuesday, April 19, 2011 - 2:52:59 AM
Contributor : Samy Tindel Connect in order to contact the contributor
Submitted on : Tuesday, January 18, 2011 - 10:54:39 AM
Last modification on : Tuesday, May 3, 2022 - 3:29:37 PM
Long-term archiving on: : Tuesday, April 19, 2011 - 2:52:59 AM
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sko-rough14.pdf
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