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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?

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    $\begingroup$ 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
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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.

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

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