On stratonovich and skorohod stochastic calculus for gaussian processes

Yaozhong Hu; Maria Jolis; Samy Tindel

doi:10.1214/12-AOP751

On stratonovich and skorohod stochastic calculus for gaussian processes

Yaozhong Hu, Maria Jolis, Samy Tindel

Research output: Contribution to journal › Article › Research › peer-review

14 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1656-1693
Journal	Annals of Probability
Volume	41
Issue number	3 A
DOIs	https://doi.org/10.1214/12-AOP751
Publication status	Published - 1 May 2013

Keywords

Gaussian processes
Itô's formula
Malliavin calculus
Rough paths

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T1 - On stratonovich and skorohod stochastic calculus for gaussian processes

AU - Hu, Yaozhong

AU - Jolis, Maria

AU - Tindel, Samy

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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 - Gaussian processes

KW - Itô's formula

KW - Malliavin calculus

KW - Rough paths

U2 - 10.1214/12-AOP751

DO - 10.1214/12-AOP751

M3 - Article

SN - 0091-1798

VL - 41

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EP - 1693

JO - Annals of Probability

JF - Annals of Probability

IS - 3 A

ER -

On stratonovich and skorohod stochastic calculus for gaussian processes

Abstract

Keywords

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