ON STRATONOVICH AND SKOROHOD STOCHASTIC CALCULUS FOR GAUSSIAN PROCESSES

• 成果类型: Article
• 署名作者: Hu, Yaozhong; Jolis, Maria; Tindel, Samy
• 署名单位: University of Kansas; Autonomous University of Barcelona; Universite de Lorraine
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/12-AOP751
• 发表日期: 2013
• 页码: 1656-1693
• 关键词: fractional brownian-motion; itos formula; rough path; Respect

摘要

In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Holder regularity gamma (typically gamma <= 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis.