A Fourier analytic approach to pathwise stochastic integration

Massimiliano Gubinelli · Peter Imkeller · Nicolas Perkowski

22 citations0/0 files storedElectronic Journal of Probability

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Mathematical and Theoretical Analysis Fuzzy Systems and Optimization

Abstract

We develop a Fourier analytic approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate, and it leads to recursive algorithms for the calculation of pathwise stochastic integrals, both of Itô and of Stratonovich type. We apply it to solve stochastic differential equations in a pathwise manner.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

1998Differential equations driven by rough signals 2010Multidimensional Stochastic Processes as Rough Paths 2004Controlling rough paths 2002System Control and Rough Paths 2014A Course on Rough Paths 1995Uncertain volatility and the risk-free synthesis of derivatives 1993Forward, backward and symmetric stochastic integration 2002Stochastic analysis, rough path analysis and fractional Brownian motions

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.