Skorohod and Stratonovich integration in the plane
Résumé
This article gives an account on various aspects of stochastic calculus in the plane. Specifically, our aim is 3-fold: (i) Derive a pathwise change of variable formula for a path indexed by a square, satisfying some Hölder regularity conditions with a Hölder exponent greater than 1/3. (ii) Get some Skorohod change of variable formulas for a large class of Gaussian processes defined on the suqare. (iii) Compare the bidimensional integrals obtained with those two methods, computing explicit correction terms whenever possible. As a byproduct, we also give explicit forms of corrections in the respective change of variable formulas.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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