Gubinelli, Massimiliano; Chouk, Khalil (2014), Rough Sheets. https://basepub.dauphine.fr/handle/123456789/13740
TypeDocument de travail / Working paper
External document linkhttp://arxiv.org/pdf/1406.7748.pdf
MetadataShow full item record
Abstract (EN)Rough sheets are two-parameter analogs of rough paths. In this work the theory of integration over functions of two parameters is extended to cover the case o f irregular functions by developing an appropriate notion of rough sheet. The main application is to give a path by path construction of the stochastic integral in the plane and obtain a stratonovich ch ange of variables formula.
Subjects / Keywordsrough path
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