Work

Semi-martingales and rough paths theory

Year: 2005

Type: article

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.

Source: Electronic Journal of Probability

DOI: 10.1214/ejp.v10-162

Authors: Laure Coutin, Antoine Lejay

Institutions: Université Toulouse III - Paul Sabatier, Institut national de recherche en sciences et technologies du numérique, Institut Élie Cartan de Lorraine

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2116102765