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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Friz, P, Oberhauser, H
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	Elsevier 2009

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