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math.PR2018
A Stratonovich-Skorohod integral formula for Volterra Gaussian rough paths
Thomas Cass, Nengli Lim
Given a solution to a rough differential equation (RDE), a recent result [8] extends the classical Itö-Stratonovich formula and provides a closed-form expression for $\int Y \c…
math.PR2018
Young-Stieltjes integrals with respect to Volterra covariance functions
Nengli Lim
Complementary regularity between the integrand and integrator is a well known condition for the integral to exist in the Riemann-Stieltjes sense.…