| Título: | Semi-martingales and rough paths theory |
| Autores: |
Coutin, Laure; Laboratoire de Statistique et Probabilités, Université Paul Sabatier Lejay, Antoine; Projet OMEGA (INRIA Lorraine/IECN) |
| Fecha: | 2005-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Semi-martingales; $p$-variation;iterated integrals; rough paths; Wong-Zakai theorem;conditions UT and UCV 60F17; 60H05 |
| Descripción: | We prove that the theory of rough paths, which is used to define path-wise integrals and path-wise differential equations, can be used with continuous semi-martingales. We provide then an almost sure theorem of type Wong-Zakai. Moreover, we show that the conditions UT and UCV, used to prove that one can interchange limits and Ito or Stratonovich integrals, provide the same result when one uses the rough paths theory. |
| Idioma: | No aplica |
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