A Fourier approach to pathwise stochastic integration
Probability
2014-10-16 v1
Abstract
We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate, and it leads to recursive algorithms for the calculation of pathwise stochastic integrals, both of It\^o and of Stratonovich type. We apply it to solve stochastic differential equations in a pathwise manner.
Cite
@article{arxiv.1410.4006,
title = {A Fourier approach to pathwise stochastic integration},
author = {Massimiliano Gubinelli and Peter Imkeller and Nicolas Perkowski},
journal= {arXiv preprint arXiv:1410.4006},
year = {2014}
}
Comments
40 pages