On Stratonovich and Skorohod stochastic calculus for Gaussian processes | Zendy

Yaozhong Hu | Zendy; Maria Jolis | Zendy; Samy Tindel | Zendy

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On Stratonovich and Skorohod stochastic calculus for Gaussian processes

Author(s) -

Yaozhong Hu,

Maria Jolis,

Samy Tindel

Publication year - 2013

Publication title -

the annals of probability

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 3.184

H-Index - 98

eISSN - 2168-894X

pISSN - 0091-1798

DOI - 10.1214/12-aop751

Subject(s) - stochastic calculus , gaussian , mathematics , gaussian process , stochastic process , type (biology) , calculus (dental) , mathematical analysis , stochastic partial differential equation , statistics , partial differential equation , chemistry , computational chemistry , medicine , ecology , dentistry , biology

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

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