Skorohod and rough integration for stochastic differential equations driven by Volterra processes
type: Item
instance of: scholarly article
title: Skorohod and rough integration for stochastic differential equations driven by Volterra processes
zbMATH Open document ID: 1491.60079
DOI: 10.1214/20-AIHP1074
author: Thomas Cass
author: Nengli Lim
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 2021-07-23T00:00:00Z
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60L20
zbMATH DE Number: 7374657
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: rough path theory
zbMATH Keywords: Volterra processes
Wikidata QID: Q115240810
MaRDI profile type: Publication
cites work: Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
cites work: Stochastic calculus with respect to Gaussian processes
cites work: Stochastic integration with respect to fractional Brownian motion
cites work: Malliavin calculus and rough paths
cites work: Non-degeneracy of Wiener functionals arising from rough differential equations
cites work: Smoothness of the density for solutions to Gaussian rough differential equations
cites work: A Stratonovich-Skorohod integral formula for Gaussian rough paths
cites work: Integrability and tail estimates for Gaussian rough differential equations
cites work: Stochastic analysis, rough path analysis and fractional Brownian motions.
cites work: Stochastic integration with respect to Volterra processes
cites work: Stochastic analysis of the fractional Brownian motion
cites work: A General Fractional White Noise Theory And Applications To Finance
cites work: The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
cites work: A course on rough paths. With an introduction to regularity structures
cites work: Differential equations driven by Gaussian signals
cites work: Multidimensional Stochastic Processes as Rough Paths
cites work: Controlling rough paths
cites work: Ramification of rough paths
cites work: Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
cites work: On Stratonovich and Skorohod stochastic calculus for Gaussian processes
cites work: Malliavin differentiability of solutions of rough differential equations
cites work: Young-Stieltjes integrals with respect to Volterra covariance functions
cites work: Differential equations driven by rough signals
cites work: Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
cites work: System Control and Rough Paths
cites work: The Malliavin Calculus and Related Topics
cites work: Q3094151
cites work: Skorohod stochastic integration with respect to non-adapted processes on wiener space
cites work: Q4331175
full work available at URL: 20-aihp1074
OpenAlex ID: W3133787188
description: scientific article; zbMATH DE number 7374657