An Itô type isometry for loops in via the brownian bridge
Pierre Gosselin, Tilmann Wurzbacher (1997)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “Girsanov type formula for a Lie group valued brownian motion”
An Itô type isometry for loops in via the brownian bridge
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Martin T. Barlow, Edwin A. Perkins (1983)
Séminaire de probabilités de Strasbourg
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The Banach fixed point method for Ito stochastic differential equations
T. Barth, A. U. Kussmaul (1981)
Annales scientifiques de l'Université de Clermont. Mathématiques
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Pathwise differentiability with respect to a parameter of solutions of stochastic differential equations
Michel Métivier (1982)
Séminaire de probabilités de Strasbourg
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Backward stochastic differential equations in a Lie group
Anne Estrade, Monique Pontier (2001)
Séminaire de probabilités de Strasbourg
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Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
Antoine Lejay (2006)
ESAIM: Probability and Statistics
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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.
A.s. approximation results for multiplicative stochastic integrals
Rajeeva L. Karandikar (1982)
Séminaire de probabilités de Strasbourg
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Skorokhod imbedding via stochastic integrals
Richard F. Bass (1983)
Séminaire de probabilités de Strasbourg
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