Rough path limits of the Wong–Zakai type with a modified drift term

The Wong-Zakai theorem asserts that ODEs driven by "reasonable" (e.g. piecewise linear) approximations of Brownian motion converge to the corresponding Stratonovich stochastic differential equation. With the aid of rough path analysis, we study "non-reasonable" approximations and...

詳細記述

書誌詳細
主要な著者: Friz, P, Oberhauser, H
フォーマット: Journal article
言語:English
出版事項: Elsevier 2009