A Fourier analytic approach to pathwise stochastic integration
Gubinelli, Massimiliano; Imkeller, Peter; Perkowski, Nicolas (2016), A Fourier analytic approach to pathwise stochastic integration, Electronic Journal of Probability, 21, p. 37 p.. 10.1214/16-EJP3868
Type
Article accepté pour publication ou publiéExternal document link
https://arxiv.org/abs/1410.4006v1Date
2016Journal name
Electronic Journal of ProbabilityVolume
21Publisher
Electronic Journal of Probability and Electronic Communications in Probability
Published in
Paris
Pages
37 p.
Publication identifier
Metadata
Show full item recordAbstract (EN)
We develop a Fourier analytic approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate, and it leads to recursive algorithms for the calculation of pathwise stochastic integrals, both of Itô and of Stratonovich type. We apply it to solve stochastic differential equations in a pathwise manner.Subjects / Keywords
Fourier approach; stochastic differential equations; pathwise stochastic integrationRelated items
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