Related papers: Riemann-Skorohod and Stratonovich integrals for Ga…
Given a solution $Y$ to a rough differential equation (RDE), a recent result [8] extends the classical It\"{o}-Stratonovich formula and provides a closed-form expression for $\int Y \circ \mathrm{d} \mathbf{X} - \int Y \, \mathrm{d} X$,…
In this article, we derive a Stratonovich and Skorohod type change of variables formula for a multidimensional Gaussian process with low H\"older regularity (typically lower than 1/4). To this aim, we combine tools from rough paths theory…
Given a Gaussian process $X$, its canonical geometric rough path lift $\mathbf{X}$, and a solution $Y$ to the rough differential equation (RDE) $\mathrm{d}Y_{t} = V\left (Y_{t}\right ) \circ \mathrm{d} \mathbf{X}_t$, we present a…
This article gives an account on various aspects of stochastic calculus in the plane. Specifically, our aim is 3-fold: (i) Derive a pathwise change of variable formula for a path indexed by a square, satisfying some H\"older regularity…
We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and extends the classical one for general (i.e., possibly…
We develop a stochastic analysis for a Gaussian process $X$ with singular covariance by an intrinsic procedure focusing on several examples such as covariance measure structure processes, bifractional Brownian motion, processes with…
Given a continuous Gaussian process $x$ which gives rise to a $p$-geometric rough path for $p\in (2,3)$, and a general continuous process $y$ controlled by $x$, under proper conditions we establish the relationship between the Skorohod…
The purpose of this paper is to establish the convergence in law of the sequence of "midpoint" Riemann sums for a stochastic process of the form f'(W), where W is a Gaussian process whose covariance function satisfies some technical…
We derive explicit distance bounds for Stratonovich iterated integrals along two Gaussian processes (also known as signatures of Gaussian rough paths) based on the regularity assumption of their covariance functions. Similar estimates have…
For a Gaussian process $X$ and smooth function $f$, we consider a Stratonovich integral of $f(X)$, defined as the weak limit, if it exists, of a sequence of Riemann sums. We give covariance conditions on $X$ such that the sequence converges…
We examine the relation between a stochastic version of the rough path integral with the symmetric-Stratonovich integral in the sense of regularization. Under mild regularity conditions in the sense of Malliavin calculus, we establish…
It is a well-known fact that finite rho-variation of the covariance (in 2D sense) of a general Gaussian process implies finite rho-variation of Cameron-Martin paths. In the special case of fractional Brownian motion (think: 2H=1/rho), in…
In this article we study existence of pathwise stochastic integrals with respect to a general class of $n$-dimensional Gaussian processes and a wide class of adapted integrands. More precisely, we study integrands which are functions that…
Let $B$ be a fractional Brownian motion with Hurst parameter $H=1/6$. It is known that the symmetric Stratonovich-style Riemann sums for $\int g(B(s))\,dB(s)$ do not, in general, converge in probability. We show, however, that they do…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…
We consider a class of stochastic processes $X$ defined by $X\left( t\right) =\int_{0}^{T}G\left( t,s\right) dM\left( s\right) $ for $t\in\lbrack0,T]$, where $M$ is a square-integrable continuous martingale and $G$ is a deterministic…
Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward…
In this paper we express tau functions for the Korteweg de Vries (KdV) equation, as Laplace transforms of iterated Skorohod integrals. Our main tool is the notion of Fredholm determinant of an integral operator. Our result extends the paper…
We introduce a class of self-similar Gaussian processes and provide sufficient and necessary conditions for a member of the class to admit a unique small scale limit in the Skorokhod space. The class includes several well known processes.…