Given a continuous Gaussian process $x$ which gives rise to a $p$-geometric rough path for $p\in (2,3)$, and a general continuous process $y$ controlled by $x$, under proper conditions we establish the relationship between the Skorohod integral $\int_0^t y_s {\mathrm{d}}^\diamond x_s$ and the Stratonovich integral $\int_0^t y_s {\mathrm{d}} {\mathbf x}_s$. Our strategy is to employ the tools from rough paths theory and Malliavin calculus to analyze discrete sums of the integrals.
此内容由惯性聚合(RSS阅读器)自动聚合整理，仅供阅读参考。 原文来自 — 版权归原作者所有。