Recovering the pathwise Itô solution from averaged Stratonovich solutions
We recover the pathwise Itô solution (the solution to a rough differential equation driven by the Itô signature) by concatenating averaged Stratonovich solutions on small intervals and by letting the mesh of the partition in the approximations tend to zero. More specifically, on a fixed small interv...
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| Format: | Journal article |
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Institute of Mathematical Statistics
2016
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