Skorohod and Stratonovich integration in the plane
Tindel, Samy; Chouk, Khalil (2013), Skorohod and Stratonovich integration in the plane, Université Paris-Dauphine : Paris, p. 49. https://basepub.dauphine.fr/handle/123456789/11909
External document linkhttp://hal.archives-ouvertes.fr/hal-00866067
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Abstract (EN)This article gives an account on various aspects of stochastic calculus in the plane. Specifically, our aim is 3-fold: (i) Derive a pathwise change of variable formula for a path indexed by a square, satisfying some Hölder regularity conditions with a Hölder exponent greater than 1/3. (ii) Get some Skorohod change of variable formulas for a large class of Gaussian processes defined on the suqare. (iii) Compare the bidimensional integrals obtained with those two methods, computing explicit correction terms whenever possible. As a byproduct, we also give explicit forms of corrections in the respective change of variable formulas.
Subjects / KeywordsMalliavin calculus; Stochastic integral; Rough path; Young integrals
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