Semi-martingales and rough paths theory
نویسندگان
چکیده
Abstract: We prove that the theory of rough paths, which is used to define path-wise integrals and path-wise differential equations, can be used with continuous semi-martingales. We provide then an almost sure theorem of type Wong-Zakai. Moreover, we show that the conditions UT and UCV, used to prove that one can interchange limits and Itô or Stratonovich integrals, provide the same result when one uses the rough paths theory.
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تاریخ انتشار 2005