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ROUGH PATHS AND REGULARIZATION

  • Unité de Mathématiques Appliquées
  • University of Campinas (UNICAMP)
  • Universidade de Brasília

Research output: Contribution to journalArticlepeer-review

Abstract

Calculus via regularizations and rough paths are two methods to approach stochastic integration and calculus close to pathwise calculus. The origin of rough paths theory is purely deterministic, calculus via regularization is based on deterministic techniques but there is still a probability in the background. The goal of this paper is to establish a connection between stochastically controlled-type processes, a concept reminiscent from rough paths theory, and the so-called weak Dirichlet processes. As a by-product, we present the connection between rough and Stratonovich integrals for cdlg weak Dirichlet processes integrands and continuous semimartingales integrators.

Original languageEnglish
Article number1
JournalJournal of Stochastic Analysis
Volume2
Issue number4
DOIs
Publication statusPublished - 1 Dec 2021

Keywords

  • Gubinelli’s derivative
  • Rough paths
  • calculus via regularizations

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