Abstract
In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Hölder regularity $\gamma$ (typically $\gamma \le1/4$). To this aim, we combine tools from rough paths theory and stochastic analysis.
Citation
Yaozhong Hu. Maria Jolis. Samy Tindel. "On Stratonovich and Skorohod stochastic calculus for Gaussian processes." Ann. Probab. 41 (3A) 1656 - 1693, May 2013. https://doi.org/10.1214/12-AOP751
Information
