Good rough path sequences and applications to anticipating stochastic calculus

DOI10.1214/009117906000000827zbMath1132.60053arXiv0707.4546OpenAlexW2049386710MaRDI QIDQ2370100

Nicolas Victoir, Laure Coutin, Peter K. Friz

Publication date: 22 June 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.4546

zbMATH Keywords

rough pathsanticipative stochastic calculusgood rough pathsStratonovich equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

Related Items (15)

Stochastic control with rough paths ⋮ Operators associated with a stochastic differential equation driven by fractional Brownian motions ⋮ Nonsemimartingales: stochastic differential equations and weak Dirichlet processes ⋮ Physical Brownian motion in a magnetic field as a rough path ⋮ The extension of step-N signatures ⋮ Optimal pointwise approximation of anticipating SDEs ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ A (rough) pathwise approach to a class of non-linear stochastic partial differential equations ⋮ Time reversal of Volterra processes driven stochastic differential equations ⋮ A stochastic Taylor-like expansion in the rough path theory ⋮ Canonical RDEs and general semimartingales as rough paths ⋮ Differential equations driven by Gaussian signals ⋮ Stochastic differential equations driven by processes generated by divergence form operators II: convergence results ⋮ Analysis of the gradient of the solution to a stochastic heat equation via fractional Brownian motion ⋮ Enhanced Gaussian processes and applications

Cites Work

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• A note on the notion of geometric rough paths
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• An inequality of the Hölder type, connected with Stieltjes integration
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• The euler scheme for anticipating stochastic differential equations
• System Control and Rough Paths
• Smoothness of distributions for solutions of anticipating stochastic differential equations
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