The It{\^o}-Tanaka Trick: a non-semimartingale approach

zbMath1492.60153arXiv1907.03629MaRDI QIDQ5093996

Anthony Réveillac, Laure Coutin, Romain Duboscq

Publication date: 2 August 2022

Full work available at URL: https://arxiv.org/abs/1907.03629

zbMATH Keywords

fractional Brownian motionMalliavin calculusItô-Tanaka trickregularisation by noiserough SDEs

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

Related Items (1)

Perturbations of singular fractional SDEs

Cites Work

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