- Abstract:
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We recover the pathwise Itô solution (the solution to a rough differential equation driven by the Itô signature) by concatenating averaged Stratonovich solutions on small intervals and by letting the mesh of the partition in the approximations tend to zero. More specifically, on a fixed small interval, we consider two Stratonovich solutions: one is driven by the original process and the other is driven by the original process plus a selected independent noise. Then by taking the expectation w...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Publisher's Version
- Files:
-
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(pdf, 299.7kb)
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- Publisher copy:
- 10.1214/16-ECP3795
-
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- Publisher:
- Institute of Mathematical Statistics Publisher's website
- Journal:
- Electronic Communications in Probability Journal website
- Publication date:
- 2016-02-05
- Acceptance date:
- 2015-08-10
- DOI:
- ISSN:
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1083-589X
- Pubs id:
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pubs:720219
- URN:
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uri:d1eeae3c-ff31-4cc2-87c8-39397a276c68
- UUID:
-
uuid:d1eeae3c-ff31-4cc2-87c8-39397a276c68
- Local pid:
- pubs:720219
- Copyright holder:
- Institute of Mathematical Statistics
- Copyright date:
- 2016
- Notes:
- © 2016. Published under a Creative Commons Attribution 4.0 International License.
Journal article
Recovering the pathwise Itô solution from averaged Stratonovich solutions
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