Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators I: A Wong-Zakai Theorem - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles ESAIM: Probability and Statistics Year : 2006

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.
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Dates and versions

inria-00092426 , version 1 (10-09-2006)

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Antoine Lejay. Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators I: A Wong-Zakai Theorem. ESAIM: Probability and Statistics, 2006, 10, pp.356-379. ⟨10.1051/ps:2006015⟩. ⟨inria-00092426⟩
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