{
  "id": "math/0501197",
  "version": "v1",
  "published": "2005-01-13T10:57:12.000Z",
  "updated": "2005-01-13T10:57:12.000Z",
  "title": "Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus",
  "authors": [
    "Laure Coutin",
    "Peter Friz",
    "Nicolas Victoir"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or vector fields is assumed. Under a simple condition on the stochastic process, we show that the unique solution of the above SDE understood in the rough path sense is actually a Stratonovich solution. This condition is satisfied by the Brownian motion and the fractional Brownian motion with Hurst parameter greater than 1/4. As application, we obtain rather flexible results such as support theorems, large deviation principles and Wong-Zakai approximations for SDEs driven by fractional Brownian Motion along anticipating vectorfields. In particular, this unifies many results on anticipative SDEs.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2005-01-13T10:57:12.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H99"
    ],
    "keywords": [
      "fractional stochastic calculus",
      "rough path sequences",
      "fractional brownian motion",
      "stratonovich stochastic differential equations driven",
      "application"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2005math......1197C"
    }
  }
}