The Annals of Probability

On Stratonovich and Skorohod stochastic calculus for Gaussian processes

Yaozhong Hu, Maria Jolis, and Samy Tindel

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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.

Article information

Source
Ann. Probab., Volume 41, Number 3A (2013), 1656-1693.

Dates
First available in Project Euclid: 29 April 2013

Permanent link to this document
https://projecteuclid.org/euclid.aop/1367241509

Digital Object Identifier
doi:10.1214/12-AOP751

Mathematical Reviews number (MathSciNet)
MR3098687

Zentralblatt MATH identifier
1274.60219

Subjects
Primary: 60H35: Computational methods for stochastic equations [See also 65C30]
Secondary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H10: Stochastic ordinary differential equations [See also 34F05] 65C30: Stochastic differential and integral equations

Keywords
Gaussian processes rough paths Malliavin calculus Itô’s formula

Citation

Hu, Yaozhong; Jolis, Maria; Tindel, Samy. On Stratonovich and Skorohod stochastic calculus for Gaussian processes. Ann. Probab. 41 (2013), no. 3A, 1656--1693. doi:10.1214/12-AOP751. https://projecteuclid.org/euclid.aop/1367241509


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References

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