Rough paths and regularization
december, 2021
Publication type:
Paper in peer-reviewed journals
Journal:
Journal of Stochastic Analysis (JOSA)., vol. 2 (4), pp. 1-21
DOI:
HAL:
arXiv:
Keywords :
Rough paths; calculus via regularizations;
Gubinelli's derivative.
Abstract:
Calculus via regularizations and rough paths are two methods
to approach stochastic integration and calculus close to pathwise
calculus. The origin of rough paths theory is purely deterministic,
calculus via regularization is based on deterministic techniques
but there is still a probability in the background.
The goal of this paper is to establish a connection between stochastically
controlled-type processes, a concept reminiscent from rough paths theory,
and the so-called weak Dirichlet processes. As a by-product, we present
the connection between rough and Stratonovich integrals for càdlàg weak
Dirichlet processes integrands and continuous semimartingales integrators.
BibTeX:
@article{Gom-Oha-Rus-Tei-2021, author={André O. Gomes and Alberto Ohashi and Francesco Russo and Alan Teixeira }, title={Rough paths and regularization }, doi={10.31390/josa.2.4.01 }, journal={Journal of Stochastic Analysis (JOSA). }, year={2021 }, month={12}, volume={2 (4) }, pages={1--21}, }