The Calculus of Differentials for the Weak Stratonovich Integral

@article{Swanson2013TheCO,
  title={The Calculus of Differentials for the Weak Stratonovich Integral},
  author={Jason Swanson},
  journal={arXiv: Probability},
  year={2013},
  pages={95-111}
}
  • Jason Swanson
  • Published 2013
  • Mathematics
  • arXiv: Probability
  • The weak Stratonovich integral is defined as the limit, in law, of Stratonovich-type symmetric Riemann sums. We derive an explicit expression for the weak Stratonovich integral of f(B) with respect to g(B), where B is a fractional Brownian motion with Hurst parameter 1/6, and f and g are smooth functions. We use this expression to derive an Ito-type formula for this integral. As in the case where g is the identity, the Ito-type formula has a correction term which is a classical Ito integral and… CONTINUE READING

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