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.
https://hal.inria.fr/inria-00092426
Contributor : Antoine Lejay
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Submitted on : Sunday, September 10, 2006 - 1:27:49 PM
Last modification on : Saturday, January 27, 2018 - 1:31:50 AM
Long-term archiving on: Monday, April 5, 2010 - 11:36:26 PM
Antoine Lejay. Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators I: A Wong-Zakai Theorem. ESAIM: Probability and Statistics, EDP Sciences, 2006, 10, pp.356-379. ⟨10.1051/ps:2006015⟩. ⟨inria-00092426⟩
