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Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators I: A Wong-Zakai Theorem
Abstract : We show in this article how the theory of "rough paths" allows us to construct solutions of differential equations (SDEs) driven by processes generated by divergence-form operators. For that, we use approximations of the trajectories of the stochastic process by piecewise smooth paths. A result of type Wong-Zakai follows immediately.
Cited literature [24 references]
https://hal.inria.fr/inria-00092426
Contributor : Antoine Lejay Connect in order to contact the contributor
Submitted on : Sunday, September 10, 2006 - 1:27:49 PM
Last modification on : Friday, February 4, 2022 - 3:22:26 AM
Long-term archiving on: : Monday, April 5, 2010 - 11:36:26 PM
Contributor : Antoine Lejay Connect in order to contact the contributor
Submitted on : Sunday, September 10, 2006 - 1:27:49 PM
Last modification on : Friday, February 4, 2022 - 3:22:26 AM
Long-term archiving on: : Monday, April 5, 2010 - 11:36:26 PM