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

Producción científica: Contribución a una revista › Artículo › Investigación › revisión exhaustiva

15 Citas (Scopus)

Resumen

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	Inglés
Páginas (desde-hasta)	1656-1693
Publicación	Annals of Probability
Volumen	41
N.º	3 A
DOI	https://doi.org/10.1214/12-AOP751
Estado	Publicada - 1 may 2013

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AU - Hu, Yaozhong

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 - Itô's formula

KW - Rough paths

KW - Gaussian processes

KW - Malliavin calculus

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DO - 10.1214/12-AOP751

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JO - Annals of Probability

JF - Annals of Probability

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On stratonovich and skorohod stochastic calculus for gaussian processes

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