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

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...

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Dades bibliogràfiques
Autors principals:	Friz, P, Oberhauser, H
Format:	Journal article
Idioma:	English
Publicat:	Elsevier 2009

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