An Itô type isometry for loops in via the brownian bridge
Pierre Gosselin, Tilmann Wurzbacher (1997)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “Large deviations for multiple Wiener-Itô integral processes”
An Itô type isometry for loops in via the brownian bridge
On some sample path properties of Skorohod integral processes
Martin T. Barlow, Peter Imkeller (1992)
Séminaire de probabilités de Strasbourg
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Transformations of index set for Skorokhod integral with respect to Gaussian processes.
Gawarecki, Leszek (1999)
Journal of Applied Mathematics and Stochastic Analysis
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Skew products, regular conditional probabilities and stochastic differential equations : a technical remark
John C. Taylor (1992)
Séminaire de probabilités de Strasbourg
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Stochastic differential equations driven by symmetric stable processes
Richard F. Bass (2002)
Séminaire de probabilités de Strasbourg
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Enhanced Gaussian processes and applications
Laure Coutin, Nicolas Victoir (2009)
ESAIM: Probability and Statistics
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We propose some construction of enhanced Gaussian processes using Karhunen-Loeve expansion. We obtain a characterization and some criterion of existence and uniqueness. Using rough-path theory, we derive some Wong-Zakai Theorem.
Girsanov type formula for a Lie group valued brownian motion
Rajeeva L. Karandikar (1983)
Séminaire de probabilités de Strasbourg
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Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
Antoine Lejay (2006)
ESAIM: Probability and Statistics
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We show in this article how the theory of “rough paths” allows us to construct solutions of differential equations (SDEs) driven by processes generated by divergence-form operators. For that, we use approximations of the trajectories of the stochastic process by piecewise smooth paths. A result of type Wong-Zakai follows immediately.
Computation of Greeks for barrier and look-back options using Malliavin calculus.
Gobet, Emmanuel, Kohatsu-Higa, Arturo (2003)
Electronic Communications in Probability [electronic only]
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