Rough pathsviasewing Lemma

DOI10.1051/ps/2011108zbMath1277.47081OpenAlexW2155468434WikidataQ124948568 ScholiaQ124948568MaRDI QIDQ4921822

Laure Coutin

Publication date: 14 May 2013

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2011108

zbMATH Keywords

stochastic differential equations\(p\)-variationrough path theory\(\alpha\)-Hölder continuity

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of operator theory in probability theory and statistics (47N30)

Related Items (6)

Approximation of stationary solutions to SDEs driven by multiplicative fractional noise ⋮ Perturbed linear rough differential equations ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Numerical Attractors for Rough Differential Equations ⋮ Sensitivity of rough differential equations: an approach through the omega lemma ⋮ The non-linear sewing lemma I: weak formulation

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