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.
|Journal||Annals of Probability|
|Issue number||3 A|
|Publication status||Published - 1 May 2013|
- Gaussian processes
- Itô's formula
- Malliavin calculus
- Rough paths