Hu, Yaozhong; Jolis, Maria; Tindel, Samy On Stratonovich and Skorohod stochastic calculus for Gaussian processes. (English) Zbl 1274.60219 Ann. Probab. 41, No. 3A, 1656-1693 (2013). 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. Cited in 12 Documents 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 Keywords:Gaussian processes; rough paths; Malliavin calculus; Itô’s formula × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid References: [1] Alòs, E., Mazet, O. and Nualart, D. (2001). Stochastic calculus with respect to Gaussian processes. Ann. Probab. 29 766-801. · Zbl 1015.60047 · doi:10.1214/aop/1008956692 [2] Cheridito, P. and Nualart, D. (2005). Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H\in(0,{1/2})\). Ann. Inst. Henri Poincaré Probab. Stat. 41 1049-1081. · Zbl 1083.60027 · doi:10.1016/j.anihpb.2004.09.004 [3] Coutin, L. (2007). 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Phys. 298 1-36. · Zbl 1221.46047 · doi:10.1007/s00220-010-1064-1 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.