中文

Correcting Newton--C\^{o}tes integrals by L\'{e}vy areas

概率论 2009-09-29 v2

摘要

In this note we introduce the notion of Newton--C\^{o}tes functionals corrected by L\'{e}vy areas, which enables us to consider integrals of the type f(y)dx,\int f(y) \mathrm{d}x, where ff is a C2m{\mathscr{C}}^{2m} function and x,yx,y are real H\"{o}lderian functions with index α>1/(2m+1)\alpha>1/(2m+1) for all mN.m\in {\mathbb{N}}^*. We show that this concept extends the Newton--C\^{o}tes functional introduced in Gradinaru et al., to a larger class of integrands. Then we give a theorem of existence and uniqueness for differential equations driven by xx, interpreted using the symmetric Russo--Vallois integral.

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引用

@article{arxiv.math/0601544,
  title  = {Correcting Newton--C\^{o}tes integrals by L\'{e}vy areas},
  author = {Ivan Nourdin and Thomas Simon},
  journal= {arXiv preprint arXiv:math/0601544},
  year   = {2009}
}

备注

Published at http://dx.doi.org/10.3150/07-BEJ6015 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)