Journal article icon

Journal article

Recovering the pathwise Itô solution from averaged Stratonovich solutions

Abstract:

We recover the pathwise Itô solution (the solution to a rough differential equation driven by the Itô signature) by concatenating averaged Stratonovich solutions on small intervals and by letting the mesh of the partition in the approximations tend to zero. More specifically, on a fixed small interval, we consider two Stratonovich solutions: one is driven by the original process and the other is driven by the original process plus a selected independent noise. Then by taking the expectation w...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed

Actions


Access Document


Files:
Publisher copy:
10.1214/16-ECP3795

Authors


More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Divisional Administration
Sub department:
Oxford-Man Institute
Oxford college:
St Anne's College
Role:
Author
More by this author
Institution:
University of Oxford
Division:
Social Sciences Division
Department:
Divisional Administration; -man Institute; Mathematical Institute
Oxford college:
Balliol College
Role:
Author
Publisher:
Institute of Mathematical Statistics Publisher's website
Journal:
Electronic Communications in Probability Journal website
Publication date:
2016-02-05
Acceptance date:
2015-08-10
DOI:
ISSN:
1083-589X
Source identifiers:
720219
Keywords:
Pubs id:
pubs:720219
UUID:
uuid:d1eeae3c-ff31-4cc2-87c8-39397a276c68
Local pid:
pubs:720219
Deposit date:
2017-11-15

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP