Skorohod and Stratonovich integration in the plane
Tindel, Samy; Chouk, Khalil (2013), Skorohod and Stratonovich integration in the plane, Université Paris-Dauphine : Paris, p. 49. https://basepub.dauphine.fr/handle/123456789/11909
Type
RapportExternal document link
http://hal.archives-ouvertes.fr/hal-00866067Date
2013Publisher
Université Paris-Dauphine
Published in
Paris
Pages
49
Metadata
Show full item recordAbstract (EN)
This article gives an account on various aspects of stochastic calculus in the plane. Specifically, our aim is 3-fold: (i) Derive a pathwise change of variable formula for a path indexed by a square, satisfying some Hölder regularity conditions with a Hölder exponent greater than 1/3. (ii) Get some Skorohod change of variable formulas for a large class of Gaussian processes defined on the suqare. (iii) Compare the bidimensional integrals obtained with those two methods, computing explicit correction terms whenever possible. As a byproduct, we also give explicit forms of corrections in the respective change of variable formulas.Subjects / Keywords
Malliavin calculus; Stochastic integral; Rough path; Young integralsRelated items
Showing items related by title and author.
-
Tindel, Samy; Gubinelli, Massimiliano (2010) Article accepté pour publication ou publié
-
Deya, Aurélien; Gubinelli, Massimiliano; Tindel, Samy (2012) Article accepté pour publication ou publié
-
Torrecilla, Iván; Tindel, Samy; Gubinelli, Massimiliano (2014) Document de travail / Working paper