In this work, we generalise the stochastic local time space integration introduced in \cite{Ei00} to the case of Brownian sheet. %We develop a stochastic local time-space calculus with respect to the Brownian sheet. This allows us to prove a generalised two-parameter It\^o formula and derive Davie type inequalities for the Brownian sheet. Such estimates are useful to obtain regularity bounds for some averaging type operators along Brownian sheet curves.Comment: 26 page
International audienceThis article gives an account on various aspects of stochastic calculus in the...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
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In this paper we study path-by-path uniqueness for multidimensional stochastic differential equation...
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The Wiener's path integral plays a central role in the studies of Brownian motion. Here we derive ex...
International audienceWe develop a stochastic calculus of divergence type with respect to the fracti...
In this paper we study the local times of Brownian motion from the point of view of algorithmic rand...
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This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v14-1511.The purpo...
We show an It o's formula for nondegenerate Brownian martingales Xt = R t 0 us dWs and functions F(x...
We study the existence and regularity of local times for general $d$-dimensional stochastic processe...
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v15-1573.The purpo...
International audienceThis article gives an account on various aspects of stochastic calculus in the...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
Brownian motion is one of the most used stochastic models in applications to financial mathematics, ...
In this paper we study path-by-path uniqueness for multidimensional stochastic differential equation...
This article is concerned with modulus of continuity of Brownian local times. Specifically, we focus...
The Wiener's path integral plays a central role in the studies of Brownian motion. Here we derive ex...
International audienceWe develop a stochastic calculus of divergence type with respect to the fracti...
In this paper we study the local times of Brownian motion from the point of view of algorithmic rand...
In this paper, an averaging principle for multidimensional, time dependent, stochastic differential ...
We develop a stochastic calculus on the plane with respect to the local times of a large class of Lé...
AbstractIn this paper, we develop a stochastic calculus related to a fractional Brownian sheet as in...
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v14-1511.The purpo...
We show an It o's formula for nondegenerate Brownian martingales Xt = R t 0 us dWs and functions F(x...
We study the existence and regularity of local times for general $d$-dimensional stochastic processe...
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v15-1573.The purpo...
International audienceThis article gives an account on various aspects of stochastic calculus in the...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
Brownian motion is one of the most used stochastic models in applications to financial mathematics, ...