On Stratonovich and Skorohod stochastic calculus for Gaussian processes
Résumé
In this article, we derive a Stratonovich and Skorohod type change of variables formula for a multidimensional Gaussian process with low Hölder regularity (typically lower than 1/4). To this aim, we combine tools from rough paths theory and stochastic analysis.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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