Correcting Newton–Côtes integrals by Lévy areas
Nourdin, Ivan ; Simon, Thomas
Bernoulli, Tome 13 (2007) no. 1, p. 695-711 / Harvested from Project Euclid
In this note we introduce the notion of Newton–Côtes functionals corrected by Lévy areas, which enables us to consider integrals of the type ∫ f(y) dx, where f is a C2m function and x, y are real Hölderian functions with index α>1/(2m+1) for all m∈ℕ*. We show that this concept extends the Newton–Côtes functional introduced in Gradinaru et al., to a larger class of integrands. Then we give a theorem of existence and uniqueness for differential equations driven by x, interpreted using the symmetric Russo–Vallois integral.
Publié le : 2007-08-14
Classification:  fractional Brownian motion,  Lévy area,  Newton–Côtes integral,  rough differential equation,  symmetric stochastic integral
@article{1186503483,
     author = {Nourdin, Ivan and Simon, Thomas},
     title = {Correcting Newton--C\^otes integrals by L\'evy areas},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 695-711},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1186503483}
}
Nourdin, Ivan; Simon, Thomas. Correcting Newton–Côtes integrals by Lévy areas. Bernoulli, Tome 13 (2007) no. 1, pp.  695-711. http://gdmltest.u-ga.fr/item/1186503483/