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| HAL : inria-00000411, version 1 |
| Voir la fiche détaillée |  BibTeX,EndNote,... |
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| Electronic Journal of Probability 10, 23 (2005) 761-785 |
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| Semi-martingales and rough paths theory |
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| Laure Coutin 1Antoine Lejay 2, 3 |
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| (14/07/2005) |
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| 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. |
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| 1 : | Laboratoire de Statistiques et Probabilités (LSProba) |
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CNRS : UMR5583 – Université Paul Sabatier - Toulouse III – Institut National des Sciences Appliquées de Toulouse |
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| 2 : | OMEGA (INRIA Sophia Antipolis / INRIA Lorraine / IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II |
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| 3 : | Institut Elie Cartan Nancy (IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| Domaine | : | Mathématiques/Probabilités |
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| semi-martingales – p-variation – iterated integrals – rough paths – Wong-Zakai theorem – conditions UT and UCV |
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| Liste des fichiers attachés à ce document : | |||||
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| inria-00000411, version 1 | |
| http://hal.inria.fr/inria-00000411 | |
| oai:hal.inria.fr:inria-00000411 | |
| Contributeur : Antoine Lejay | |
| Soumis le : Dimanche 10 Septembre 2006, 12:03:41 | |
| Dernière modification le : Lundi 11 Septembre 2006, 10:31:29 | |
