On the approximation of the solution of an anticipating stochastic differential equation (Q1969339): Difference between revisions

Let \(W\) be the coordinate process on the classical Wiener space and \(G\) an arbitrary random variable on this space. Given \(\alpha,b\in C^2_{l,b} (R)\) with \(\sigma\sigma'\in C^2_{l,b}(R)\) the authors prove for the anticipating stochastic differential equation with Stratonovich integral \[ X_t=G+\int^t_0 \sigma(X_s) \circ dW_t+\int^t_0b(X_s) ds,\quad t\in[0,1] \] (existence and uniqueness studied by \textit{D. Ocone} and \textit{E. Pardoux} in [Stochastic partial differential equations and applications. II., Lect. Notes Math. 1390, 197-204 (1989; Zbl 0703.60061)]) that, under some integrability assumption on \(\sigma,b\) and their derivatives over \(R\), the approximation by the solution of this equation with \(W\) replaced by a linear interpolation converges to \(X\) in Liouville spaces. The paper generalizes earlier results obtained by \textit{D. Feyel} and \textit{A. de La Pradelle} [Electron. J. Probab. 3, No. 7 (1998; Zbl 0901.60028)] in the case of a deterministic initial value.