Hi I'm looking for an Ito-type lemma for rough paths but am having difficulty finding something. Could someone kindly point me in the right direction?

  • 2
    $\begingroup$ There are some results in A Course on Rough Paths by Friz and Hairer, have you looked there? $\endgroup$ – Nate Eldredge May 19 '17 at 20:57

In addition to what Nate Eldredge mentioned, here is a recent paper that you might like to consider.

Keller, Christian; Zhang, Jianfeng Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients. Stochastic Process. Appl. 126 (2016), no. 3, 735–766.

This copy is publicly available at the arXiv.

  • $\begingroup$ This is wonderful. Thank you to you both!! $\endgroup$ – AIM_BLB May 19 '17 at 22:56

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.