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Article Dans Une Revue ESAIM: Probability and Statistics Année : 2006

Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators II: Convergence results

Résumé

We have seen in a previous article how the theory of "rough paths" allows us to construct solutions of differential equations driven by processes generated by divergence form operators. In this article, we study a convergence criterion which implies that one can interchange the integral with the limit of a family of stochastic processes generated by divergence form operators. As a corollary, we identify stochastic integrals constructed with the theory of rough paths with Stratonovich or Itô integrals already constructed for stochastic processes generated by divergence form operators by using time-reversal techniques.
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Dates et versions

inria-00092427 , version 1 (10-09-2006)
inria-00092427 , version 2 (06-12-2006)
inria-00092427 , version 3 (05-06-2007)

Identifiants

  • HAL Id : inria-00092427 , version 1

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Antoine Lejay. Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators II: Convergence results. ESAIM: Probability and Statistics, 2006. ⟨inria-00092427v1⟩
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