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Rough path analysis via fractional calculus
Hu, Yaozhong Nualart, David
Hu, Yaozhong
Nualart, David
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Abstract
Description
This is the published version, also available here: http://dx.doi.org/10.1090/S0002-9947-08-04631-X.
Date
2009-11-02
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Publisher
American Mathematical Society
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Keywords
Rough path, fractional calculus, integral, integration by parts, differential equation, stability, stochastic differential equation, Wong-Zakai approximation, convergence rate
Citation
Hu, Yaozhong & Nualart, David. "ROUGH PATH ANALYSIS VIA FRACTIONAL CALCULUS." Transactions of the American Mathematical Society. (2009) Vol 361, 5. pp. 2689-2718. http://dx.doi.org/10.1090/S0002-9947-08-04631-X.