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arXiv · 2206.09905

An It\^o-Wentzell formula for rough paths

Rafael A. Castrequini·Pedro J. Catuogno·Alvaro E. Machado Hernandez
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Abstract

This article shows an It\^o-Wentzell type formula adapted to rough paths with $\alpha$-H\"older regularity $\alpha \in (\frac{1}{3},\frac{1}{2}]$. We improve previous results of R. Castrequini and P. Catuogno for the Young integral and C. Keller and J. Zhang for rough paths.

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Rafael A. Castrequini, Pedro J. Catuogno, Alvaro E. Machado Hernandez. 2022-06-20. An It\^o-Wentzell formula for rough paths. https://arxiv.org/abs/2206.09905

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