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Rough Path Analysis via Fractional Calculus

Yaozhong Hu and David Nualart
Transactions of the American Mathematical Society
Vol. 361, No. 5 (May, 2009), pp. 2689-2718
Stable URL: http://www.jstor.org/stable/40302873
Page Count: 30
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Rough Path Analysis via Fractional Calculus
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Abstract

Using fractional calculus we define integrals of the form $\int\limits_a^b {f(x_t )} dy_t ,$ where x and y are vector-valued Hölder continuous functions of order β∈ $\beta \in ({1 \over 3},{1 \over 2})$ and f is a continuously differentiate function such that f' is λ-Hölder continuous for some $\lambda > {1 \over \beta } - 2.$. Under some further smooth conditions on f the integral is a continuous functional of x, y, and the tensor product $x \otimes y$ with respect to the Hölder norms. We derive some estimates for these integrals and we solve differential equations driven by the function y. We discuss some applications to stochastic integrals and stochastic differential equations.

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