Skorohod and Stratonovich integrals for controlled processes
Probability
2021-02-05 v1
Abstract
Given a continuous Gaussian process which gives rise to a -geometric rough path for , and a general continuous process controlled by , under proper conditions we establish the relationship between the Skorohod integral and the Stratonovich integral . Our strategy is to employ the tools from rough paths theory and Malliavin calculus to analyze discrete sums of the integrals.
Cite
@article{arxiv.2102.02693,
title = {Skorohod and Stratonovich integrals for controlled processes},
author = {Jian Song and Samy Tindel},
journal= {arXiv preprint arXiv:2102.02693},
year = {2021}
}
Comments
26 pages