8 citations · 9 across the 4 of their papers we have counts for
4 papers
Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus
Laure Coutin, Peter Friz, Nicolas Victoir
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or ve…
A Note on the Notion of Geometric Rough Paths
Peter Friz, Nicolas Victoir
We use simple sub-Riemannian techniques to prove that an arbitrary geometric p-rough path in the sense of Lyons (98) is the limit in sup-norm of a sequence of canonically lifted sm…
Approximations of the Brownian Rough Path with Applications to Stochastic Analysis
Peter Friz, Nicolas Victoir
A geometric p-rough path can be seen to be a genuine path of finite p-variation with values in a Lie group equipped with a natural distance. The group and its distance lift (R^{d},…
Continuity of the Ito-Map for Hoelder rough paths with applications to the support theorem in Hoelder norm
Peter K. Friz
Lyons' Rough Path theory is currently formulated in p-variation topology. We extend his main-result, the Universal Limit Theorem, to a stronger Hoelder topology. Several approximat…