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A Fourier analytic approach to pathwise stochastic integration

dc.contributor.authorGubinelli, Massimiliano
dc.contributor.authorImkeller, Peter
dc.contributor.authorPerkowski, Nicolas
dc.date.accessioned2014-12-03T10:14:20Z
dc.date.available2014-12-03T10:14:20Z
dc.date.issued2016
dc.identifier.issn1083-6489
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14340
dc.language.isoenen
dc.subjectFourier approach
dc.subjectstochastic differential equations
dc.subjectpathwise stochastic integration
dc.subject.ddc519en
dc.titleA Fourier analytic approach to pathwise stochastic integration
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherInstitut für Mathematik Humboldt-Universiät zu Berlin;Allemagne
dc.description.abstractenWe 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.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameElectronic Journal of Probability
dc.relation.isversionofjnlvol21
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages37 p.
dc.relation.isversionofdoi10.1214/16-EJP3868
dc.identifier.urlsitehttps://arxiv.org/abs/1410.4006v1
dc.relation.isversionofjnlpublisherElectronic Journal of Probability and Electronic Communications in Probability
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-07T14:00:39Z


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