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Semi-martingales and rough paths theory


 
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1. Title Title of document Semi-martingales and rough paths theory
 
2. Creator Author's name, affiliation, country Laure Coutin; Laboratoire de Statistique et Probabilités, Université Paul Sabatier
 
2. Creator Author's name, affiliation, country Antoine Lejay; Projet OMEGA (INRIA Lorraine/IECN)
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Semi-martingales; $p$-variation;iterated integrals; rough paths; Wong-Zakai theorem;conditions UT and UCV
 
3. Subject Subject classification 60F17; 60H05
 
4. Description Abstract 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2005-07-14
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/162
 
10. Identifier Digital Object Identifier 10.1214/EJP.v10-162
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 10
 
12. Language English=en
 
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