An Itô-Wentzell formula for rough paths

Rafael A. Castrequini, Pedro J. Catuogno, Alvaro E. Machado Hernandez

This article shows an Itô-Wentzell type formula adapted to rough paths with $\alpha$-Hölder regularity $\alpha \in (\frac{1}{3},\frac{1}{2}]$. We improve previous results of R. Castrequini an…