On Stratonovich and Skorohod stochastic calculus for Gaussian processes
Overview & Synopsis
In this article, we derive a Stratonovich and Skorohod type change of variables formula for a multidimensional Gaussian process with low Hölder regularity (typically lower than 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis.
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hal.science)
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Document Information
| Document Title | On Stratonovich and Skorohod stochastic calculus for Gaussian processes |
|---|---|
| Author / Organization | Yaozhong Hu, Maria Jolis, Samy Tindel |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2013 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-86743 |
| Original Source Link | Visit Source Page on hal.science » |