Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8898806 | Journal of Differential Equations | 2018 | 76 Pages |
Abstract
We develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô/forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Peter K. Friz, Huilin Zhang,