English

The calculus of differentials for the weak Stratonovich integral

Probability 2011-08-02 v3

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 f(B)f(B) with respect to g(B)g(B), where BB is a fractional Brownian motion with Hurst parameter 1/6, and ff and gg are smooth functions. We use this expression to derive an It\^o-type formula for this integral. As in the case where gg 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 g(B)g(B). Finally, we derive a surprising formula for calculating with differentials. We show that if dM=XdNdM = X dN, then ZdMZ dM can be written as ZXdNZX dN 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