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20232026
most citedBranched Itô formula and natural Itô-Stratonovich isomorphism

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q-fin.MF2024

Rough differential equations for volatility

Ofelia Bonesini, Emilio Ferrucci, Ioannis Gasteratos +1

We introduce a canonical way of performing the joint lift of a Brownian motion and a low-regularity adapted stochastic rough path , extending [Diehl, Oberhauser and…