n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes

By M. Errami, Francesco Russo. 2003

84 citations recorded by the source corpus.

How researchers see this paper

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Geometric versus non-geometric rough paths (2012, unknown): “The most famous example of this is of course the Itô integral, however the phenomenon is also widespread in the world of non semi-martingales [3,4,13,19].”
Elements of Stochastic Calculus via Regularization (2006, methodology): “Moreover one-dimensional stochastic differential equations driven by a strong 3-variation were considered in[12].”
Some parabolic PDEs whose drift is an irregular random noise in space (2006, background): “It is a strong zero cubic variation process if and only if H ≥ (1)3 ; see [6].”