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...

书目详细资料
Main Authors:	Friz, P, Oberhauser, H
格式:	Journal article
语言:	English
出版:	Elsevier 2009

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