Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
Antoine Lejay (2006)
ESAIM: Probability and Statistics
Similarity:
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.