Rough Sheets

Gubinelli, Massimiliano; Chouk, Khalil

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

Metadata

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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