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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Bibliografiske detaljer
Main Authors:	Friz, P, Oberhauser, H
Format:	Journal article
Sprog:	English
Udgivet:	Elsevier 2009

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