On Stratonovich and Skorohod stochastic calculus for Gaussian processes

• Yaozhong Hu ^[2] ; Maria Jolis ^[1] ; Samy Tindel ^[3]
  1. [1] Universitat Autònoma de Barcelona

     Universitat Autònoma de Barcelona

     Barcelona, España

     
  2. [2] University of Kansas

     University of Kansas

     City of Lawrence, Estados Unidos

     
  3. [3] Institut Élie Cartan Nancy

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• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 41, Nº. 3, 1, 2013, págs. 1656-1693
• Idioma: inglés
• DOI: 10.1214/12-AOP751
• Texto completo no disponible (Saber más ...)
• Resumen

  • In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Hölder regularity γ (typically γ≤1/4). To this aim, we combine tools from rough paths theory and stochastic analysis.