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ArticleApproximations of the Brownian rough path with applications to stochastic analysis

Peter K. Friz2004

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Approximations of the Brownian rough path with applications to stochastic analysis

Peter K. Friz · Nicolas Victoir

65 citations·0/0 files stored·Annales de l Institut Henri Poincaré Probabilités et Statistiques

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Geometric Analysis and Curvature Flows

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1998Brownian Motion and Stochastic Calculus 1991Continuous Martingales and Brownian Motion 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1998Differential equations driven by rough signals 1997Stochastic Analysis 2002System Control and Rough Paths

Cited by

2005A note on the notion of geometric rough paths 2009Partial differential equations driven by rough paths 2009Non-degeneracy of Wiener functionals arising from rough differential equations 2007Euler estimates for rough differential equations 2009Rough path limits of the Wong–Zakai type with a modified drift term 2005Large deviations for rough paths of the fractional Brownian motion 2005Semi-martingales and rough paths theory

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Year2004

Typearticle

Published2004-09-14

VenueAnnales de l Institut Henri Poincaré Probabilités et Statistiques

ISSN-L0246-0203

Languageen

Citations65

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.anihpb.2004.05.003

openalex_workW1994574240

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2010A generalized Fernique theorem and applications