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On Stratonovich and Skorohod stochastic calculus for Gaussian processes. (English) Zbl 1274.60219

Summary: In this article, we derive a Stratonovich and Skorohod-type change of variables formula for a multidimensional Gaussian process with low Hölder regularity \(\gamma (\text{typically} \gamma \leq 1/4)\). To this aim, we combine tools from rough paths theory and stochastic analysis.

MSC:

60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
60H07 Stochastic calculus of variations and the Malliavin calculus
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30 Numerical solutions to stochastic differential and integral equations

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