Date
Mon, 15 Feb 2016
Time
15:45 - 16:45
Location
L5
Speaker
Nengli Lim
Organisation
Imperial College London

We derive a Stratonovich-to-Skorohod integral conversion formula for a class of integrands which are path-level solutions to RDEs driven by Gaussian rough paths. This is done firstly by showing that this class lies in the domain of the Skorohod integral, and secondly, by appending the Riemann-sum approximants of the Skorohod integral with a suitable compensation term. To show the convergence of the Riemann-sum approximants, we utilize a novel characterization of the Cameron-Martin norm using higher dimensional Young-Stieltjes integrals. Moreover, in the case where complementary regularity is absent, i.e. when the integrand has finite p-variation and the integrator has finite q-variation but 1/p + 1/q <= 1, we give new and sufficient conditions for the convergence these Young integrals.

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