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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Friz, P, Oberhauser, H
स्वरूप:	Journal article
भाषा:	English
प्रकाशित:	Elsevier 2009

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