Correcting Newton--C\^{o}tes integrals by L\'{e}vy areas
Probability
2009-09-29 v2
Abstract
In this note we introduce the notion of Newton--C\^{o}tes functionals corrected by L\'{e}vy areas, which enables us to consider integrals of the type where is a function and are real H\"{o}lderian functions with index for all We show that this concept extends the Newton--C\^{o}tes functional introduced in Gradinaru et al., to a larger class of integrands. Then we give a theorem of existence and uniqueness for differential equations driven by , interpreted using the symmetric Russo--Vallois integral.
Cite
@article{arxiv.math/0601544,
title = {Correcting Newton--C\^{o}tes integrals by L\'{e}vy areas},
author = {Ivan Nourdin and Thomas Simon},
journal= {arXiv preprint arXiv:math/0601544},
year = {2009}
}
Comments
Published at http://dx.doi.org/10.3150/07-BEJ6015 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)