Semi-martingales and rough paths theory
Laure Coutin, Laboratoire de Statistique et Probabilités, Université Paul Sabatier
Antoine Lejay, Projet OMEGA (INRIA Lorraine/IECN)
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.
Full text: PDF | PostScript
Copyright for articles published in this journal is retained by the authors, with first publication rights granted to the journal. By virtue of their appearance in this open access journal, articles are free to use, with proper attribution, in educational and other non-commercial settings.
The authors of papers published in EJP/ECP retain the copyright. We ask for the permission to use the material in any form. We also require that the initial publication in EJP or ECP is acknowledged in any future publication of the same article.
Before a paper is published in the Electronic Journal of Probability or Electronic Communications in Probability we must receive a hard-copy of the copyright form. Please mail it to
Philippe Carmona
Laboratoire Jean Leray UMR 6629
Universite de Nantes,
2, Rue de la Houssinière BP 92208
F-44322 Nantes Cédex 03
France
You can also send it by FAX: (33|0) 2 51 12 59 12 to the attention of Philippe Carmona. You can even send a scanned jpeg or pdf of this copyright form to the managing editor ejpecpme@math.univ-nantes.fr. as an attached file.
If a paper has several authors, the corresponding author signs the copyright form on behalf of all the authors.