Abstract
Given a continuous Gaussian process x which gives rise to a p-geometric rough path for p∈(2,3), and a general continuous process y controlled by x, under proper conditions we establish the relationship between the Skorohod integral ∫0tysd♢xs and the Stratonovich integral ∫0tysdxs. Our strategy is to employ the tools from rough paths theory and Malliavin calculus to analyze discrete sums of the integrals.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.