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Journal Articles Electronic Journal of Probability Year : 2005

Semi-martingales and rough paths theory

Abstract

We prove that the theory of rough paths, which is used to define path-wise integrals and path-wise differential equations, can be used with continuous semi-martingales. We provide then an almost sure theorem of type Wong-Zakai. Moreover, we show that the conditions UT and UCV, used to prove that one can interchange limits and Ito or Stratonovich integrals, provide the same result when one uses the rough paths theory.
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Dates and versions

inria-00000411 , version 1 (10-09-2006)

Identifiers

  • HAL Id : inria-00000411 , version 1

Cite

Laure Coutin, Antoine Lejay. Semi-martingales and rough paths theory. Electronic Journal of Probability, 2005, 10 (23), pp.761-785. ⟨inria-00000411⟩
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