An Itô-Wentzell formula for rough paths

Published 20 Jun 2022 in math.PR | (2206.09905v1)

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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