On Stratonovich and Skorohod stochastic calculus for Gaussian processes
Probability
2013-08-05 v1
Abstract
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 and stochastic analysis.
Cite
@article{arxiv.1101.3441,
title = {On Stratonovich and Skorohod stochastic calculus for Gaussian processes},
author = {Samy Tindel and Maria Jolis and Yaozhong Hu},
journal= {arXiv preprint arXiv:1101.3441},
year = {2013}
}
Comments
43 pages