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...

Полное описание

Библиографические подробности
Главные авторы:	Friz, P, Oberhauser, H
Формат:	Journal article
Язык:	English
Опубликовано:	Elsevier 2009

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