Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem

Antoine Lejay

ESAIM: Probability and Statistics (2006)

  • Volume: 10, page 356-379
  • ISSN: 1292-8100

Abstract

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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.

How to cite

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Lejay, Antoine. "Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem." ESAIM: Probability and Statistics 10 (2006): 356-379. <http://eudml.org/doc/249761>.

@article{Lejay2006,
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. },
author = {Lejay, Antoine},
journal = {ESAIM: Probability and Statistics},
keywords = {Rough paths; stochastic differential equations; stochastic process generated by divergence-form operators; Dirichlet process; approximation of trajectories.; rough paths; stochastic process generated by divergence-form operators; approximation of trajectories},
language = {eng},
month = {9},
pages = {356-379},
publisher = {EDP Sciences},
title = {Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem},
url = {http://eudml.org/doc/249761},
volume = {10},
year = {2006},
}

TY - JOUR
AU - Lejay, Antoine
TI - Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
JO - ESAIM: Probability and Statistics
DA - 2006/9//
PB - EDP Sciences
VL - 10
SP - 356
EP - 379
AB - 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.
LA - eng
KW - Rough paths; stochastic differential equations; stochastic process generated by divergence-form operators; Dirichlet process; approximation of trajectories.; rough paths; stochastic process generated by divergence-form operators; approximation of trajectories
UR - http://eudml.org/doc/249761
ER -

References

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