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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.
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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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yaozhong Hu, Maria Jolis, Samy Tindel. On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Annals of Probability, Institute of Mathematical Statistics, 2013, 41 (3), pp.1656-1693. ⟨10.1214/12-AOP751⟩. ⟨hal-00556955⟩

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