Rough Path Analysis Via Fractional Calculus

Details Rough Path Analysis Via Fractional Calculus Rough Path Analysis Via Fractional Calculus

2006-02-02

arxiv.org/abs/math/0602050v1

Mathematics

Probability

Scientific paper

Using fractional calculus we define integrals of the form $% \int_{a}^{b}f(x_{t})dy_{t}$, where $x$ and $y$ are vector-valued H\"{o}lder continuous functions of order $\displaystyle \beta \in (\frac13, \frac12)$ and $f$ is a continuously differentiable function such that $f'$ is $\lambda$-H\"oldr continuous for some $\lambda>\frac1\beta-2$. 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 H\"{o}lder 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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