English

Skorohod and Stratonovich integrals for controlled processes

Probability 2021-02-05 v1

Abstract

Given a continuous Gaussian process xx which gives rise to a pp-geometric rough path for p(2,3)p\in (2,3), and a general continuous process yy controlled by xx, under proper conditions we establish the relationship between the Skorohod integral 0tysdxs\int_0^t y_s {\mathrm{d}}^\diamond x_s and the Stratonovich integral 0tysdxs\int_0^t y_s {\mathrm{d}} {\mathbf x}_s. 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

R2 v1 2026-06-23T22:50:33.396Z