Rough Sheets
Gubinelli, Massimiliano; Chouk, Khalil (2014), Rough Sheets. https://basepub.dauphine.fr/handle/123456789/13740
Type
Document de travail / Working paperExternal document link
http://arxiv.org/pdf/1406.7748.pdfDate
2014Publisher
Université Paris-Dauphine
Published in
Paris
Pages
53
Metadata
Show full item recordAbstract (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 pathRelated items
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