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Rough Sheets

Gubinelli, Massimiliano; Chouk, Khalil (2014), Rough Sheets. https://basepub.dauphine.fr/handle/123456789/13740

Type
Document de travail / Working paper
External document link
http://arxiv.org/pdf/1406.7748.pdf
Date
2014
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
53
Metadata
Show full item record
Author(s)
Gubinelli, Massimiliano
Chouk, Khalil
Abstract (EN)
Rough sheets are two-parameter analogs of rough paths. In this work the theory of integration over functions of two parameters is extended to cover the case o f irregular functions by developing an appropriate notion of rough sheet. The main application is to give a path by path construction of the stochastic integral in the plane and obtain a stratonovich ch ange of variables formula.
Subjects / Keywords
rough path

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