Rough Paths and Symmetric-Stratonovich integrals

submitted
Publication type:
Paper in peer-reviewed journals
Keywords :
Rough paths; Stratonovich integrals.
Abstract:
We examine the relation between a stochastic version of the rough path integral with the symmetric-Stratonovich integral in the sense of regularization. Under mild regularity conditions in the sense of Malliavin calculus, we establish equality between stochastic rough path and symmetric-Stratonovich integrals driven by a class of Gaussian processes. As a by-product, we show that solutions of multi-dimensional rough differential equations driven by a large class of Gaussian rough paths they are actually solutions to Stratonovich stochastic differential equations. We obtain almost sure convergence rates of the first-order Stratonovich scheme to rough paths integrals in the sense of Gubinelli. In case the time-increment of the Malliavin derivative of the integrands is regular enough, the rates are essentially sharp. The framework applies to a large class of Gaussian processes whose the second-order derivative of the covariance function is a sigma-finite non-positive measure on $\mathbb{R}^2_+$ off diagonal.
BibTeX:
@article{Oha-Rus-2200,
    author={Alberto Ohashi and Francesco Russo },
    title={Rough Paths and Symmetric-Stratonovich integrals },
    year={submitted },
}