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...
| Hauptverfasser: | , |
|---|---|
| Format: | Journal article |
| Sprache: | English |
| Veröffentlicht: |
Elsevier
2009
|