| Issue |
ESAIM: PS
Volume 10, September 2006
|
|
|---|---|---|
| Page(s) | 356 - 379 | |
| DOI | https://doi.org/10.1051/ps:2006015 | |
| Published online | 08 September 2006 | |
Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
Projet OMEGA (INRIA Lorraine),
IECN, Campus scientifique,
BP 239,
54506 Vandœuvre-lès-Nancy Cedex, France; Antoine.Lejay@iecn.u-nancy.fr
Received:
5
April
2005
Revised:
12
May
2006
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.
Mathematics Subject Classification: 60H10 / 60J60
Key words: Rough paths / stochastic differential equations / stochastic process generated by divergence-form operators / Dirichlet process / approximation of trajectories.
© EDP Sciences, SMAI, 2006
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.