Translator Disclaimer
2016 A Fourier analytic approach to pathwise stochastic integration
Massimiliano Gubinelli, Peter Imkeller, Nicolas Perkowski
Electron. J. Probab. 21: 1-37 (2016). DOI: 10.1214/16-EJP3868

Abstract

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.

Citation

Download Citation

Massimiliano Gubinelli. Peter Imkeller. Nicolas Perkowski. "A Fourier analytic approach to pathwise stochastic integration." Electron. J. Probab. 21 1 - 37, 2016. https://doi.org/10.1214/16-EJP3868

Information

Received: 15 October 2014; Accepted: 18 December 2015; Published: 2016
First available in Project Euclid: 3 February 2016

zbMATH: 1338.60139
MathSciNet: MR3485344
Digital Object Identifier: 10.1214/16-EJP3868

Subjects:
Primary: 60H05, 60H10

JOURNAL ARTICLE
37 PAGES


SHARE
Vol.21 • 2016
Back to Top