On stratonovich and skorohod stochastic calculus for gaussian processes

Maria Jolis; Yaozhong Hu; Samy Tindel

doi:10.1214/12-AOP751

On stratonovich and skorohod stochastic calculus for gaussian processes

Maria Jolis, Yaozhong Hu, Samy Tindel

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In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Hölder regularity γ (typically γ ≤ 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis. © Institute of Mathematical Statistics, 2013.

Idioma original	Anglès
Pàgines (de-a)	1656-1693
Revista	Annals of Probability
Volum	41
Número	3 A
DOIs	https://doi.org/10.1214/12-AOP751
Estat de la publicació	Publicada - 1 de maig 2013

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10.1214/12-AOP751

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title = "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 H{\"o}lder regularity γ (typically γ ≤ 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis. {\textcopyright} Institute of Mathematical Statistics, 2013.",

keywords = "It{\^o}'s formula, Rough paths, Gaussian processes, Malliavin calculus",

author = "Maria Jolis and Yaozhong Hu and Samy Tindel",

year = "2013",

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doi = "10.1214/12-AOP751",

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T1 - On stratonovich and skorohod stochastic calculus for gaussian processes

AU - Jolis, Maria

AU - Hu, Yaozhong

AU - Tindel, Samy

PY - 2013/5/1

Y1 - 2013/5/1

N2 - In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Hölder regularity γ (typically γ ≤ 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis. © Institute of Mathematical Statistics, 2013.

AB - In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Hölder regularity γ (typically γ ≤ 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis. © Institute of Mathematical Statistics, 2013.

KW - Itô's formula

KW - Rough paths

KW - Gaussian processes

KW - Malliavin calculus

UR - https://dialnet.unirioja.es/servlet/articulo?codigo=5038056

U2 - 10.1214/12-AOP751

DO - 10.1214/12-AOP751

M3 - Article

SN - 0091-1798

VL - 41

SP - 1656

EP - 1693

JO - Annals of Probability

JF - Annals of Probability

IS - 3 A

ER -

On stratonovich and skorohod stochastic calculus for gaussian processes

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