On the Importance of the Levy Area for Studying the Limits of Functions of Converging Stochastic Processes. Application to Homogenization

Antoine Lejay 1, 2 Terry Lyons 3
2 OMEGA - Probabilistic numerical methods
CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : Two concrete examples show us that the convergence of a family of stochastic processes "as controls", i.e. as integrators of SDEs or differential forms, may require more information than simply the limit in the uniform norm of the processes. This may be particularly important when one deals with the homogenization theory. The theory of rough paths is then used to bring some new results about interchanging limits and functionals of stochastic processes.
Type de document :
Communication dans un congrès
D. Bakry, L. Beznea, Gh. Bucur, M. Röckner. Current Trends in Potential Theory, 2003, Bucarest, The Theta foundation / American Mathematical Society, 7, 2003, Current Trends in Potential Theory Conference Proceedings, Bucharest, September 2002 and 2003
Liste complète des métadonnées

Littérature citée [24 références]  Voir  Masquer  Télécharger

https://hal.inria.fr/inria-00092419
Contributeur : Antoine Lejay <>
Soumis le : dimanche 10 septembre 2006 - 11:03:19
Dernière modification le : samedi 27 janvier 2018 - 01:31:50
Document(s) archivé(s) le : mardi 6 avril 2010 - 00:52:03

Identifiants

  • HAL Id : inria-00092419, version 1

Collections

Citation

Antoine Lejay, Terry Lyons. On the Importance of the Levy Area for Studying the Limits of Functions of Converging Stochastic Processes. Application to Homogenization. D. Bakry, L. Beznea, Gh. Bucur, M. Röckner. Current Trends in Potential Theory, 2003, Bucarest, The Theta foundation / American Mathematical Society, 7, 2003, Current Trends in Potential Theory Conference Proceedings, Bucharest, September 2002 and 2003. 〈inria-00092419〉

Partager

Métriques

Consultations de la notice

395

Téléchargements de fichiers

248