The calculus of differentials for the weak Stratonovich integral
Abstract
The weak Stratonovich integral is defined as the limit, in law, of Stratonovich-type symmetric Riemann sums. We derive an explicit expression for the weak Stratonovich integral of with respect to , where is a fractional Brownian motion with Hurst parameter 1/6, and and are smooth functions. We use this expression to derive an It\^o-type formula for this integral. As in the case where is the identity, the It\^o-type formula has a correction term which is a classical It\^o integral, and which is related to the so-called signed cubic variation of . Finally, we derive a surprising formula for calculating with differentials. We show that if , then can be written as minus a stochastic correction term which is again related to the signed cubic variation.
Keywords
Cite
@article{arxiv.1103.0341,
title = {The calculus of differentials for the weak Stratonovich integral},
author = {Jason Swanson},
journal= {arXiv preprint arXiv:1103.0341},
year = {2011}
}
Comments
16 pages