Smooth approximation of stochastic differential equations (Q272965): Difference between revisions
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Property / author: M. Dambrine / rank | |||
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This paper considers approximations of stochastic differential equations (SDE). For a \(d\)-dimensional Itô process \(X\) expressed by the SDE \[ dX_t = a(X) dt + b(X) dW_t \] with smooth functions \(a\), \(b\) and a \(d\)-dimensional Brownian motion \(W\), the authors consider a sequence \((X^n)_{n \geq 1}\) of ordinary differential equations \[ dX^n_t = a(X^n) dt + b(X^n) dW^n_t, \] where \((W^n)_{n \geq 1}\) is a sequence of \(e\)-dimensional processes with smooth sample paths. Assuming the weak invariance principle (WIP) for the sequence \(W^n\), i.e., \(W^n \to_w W\) in \(C([0,T],\mathbb{R}^e)\), they ask whether \(X^n \to_w X\) in \(C([0,T],\mathbb{R}^d)\). The Wong-Zakai theorem gives general conditions which are satisfied for \(d=e=1\). The paper answers the question of the correct interpretation of the stochastic integral \(\int b(X) * dW\) in order to ensure \(X^n \to_w X\). For that, they first prove the discrete time iterated WIP by using a standard method of passing from invertible maps to noninvertible maps. Then they derive the continuous time WIP by methods of rough path theory and smooth ergodic theory. Moreover, they present a result on cohomological invariance of weak limits of iterated processes and give several generalizations of their main results. | |||
Property / review text: This paper considers approximations of stochastic differential equations (SDE). For a \(d\)-dimensional Itô process \(X\) expressed by the SDE \[ dX_t = a(X) dt + b(X) dW_t \] with smooth functions \(a\), \(b\) and a \(d\)-dimensional Brownian motion \(W\), the authors consider a sequence \((X^n)_{n \geq 1}\) of ordinary differential equations \[ dX^n_t = a(X^n) dt + b(X^n) dW^n_t, \] where \((W^n)_{n \geq 1}\) is a sequence of \(e\)-dimensional processes with smooth sample paths. Assuming the weak invariance principle (WIP) for the sequence \(W^n\), i.e., \(W^n \to_w W\) in \(C([0,T],\mathbb{R}^e)\), they ask whether \(X^n \to_w X\) in \(C([0,T],\mathbb{R}^d)\). The Wong-Zakai theorem gives general conditions which are satisfied for \(d=e=1\). The paper answers the question of the correct interpretation of the stochastic integral \(\int b(X) * dW\) in order to ensure \(X^n \to_w X\). For that, they first prove the discrete time iterated WIP by using a standard method of passing from invertible maps to noninvertible maps. Then they derive the continuous time WIP by methods of rough path theory and smooth ergodic theory. Moreover, they present a result on cohomological invariance of weak limits of iterated processes and give several generalizations of their main results. / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 60H05 / rank | |||
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Property / Mathematics Subject Classification ID: 60F17 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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Property / Mathematics Subject Classification ID: 37D20 / rank | |||
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Property / Mathematics Subject Classification ID: 37D25 / rank | |||
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Property / Mathematics Subject Classification ID: 37A50 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6571508 / rank | |||
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Property / zbMATH Keywords | |||
stochastic differential equations | |||
Property / zbMATH Keywords: stochastic differential equations / rank | |||
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Property / zbMATH Keywords | |||
stochastic integrals | |||
Property / zbMATH Keywords: stochastic integrals / rank | |||
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Wong-Zakai approximation | |||
Property / zbMATH Keywords: Wong-Zakai approximation / rank | |||
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uniform hyperbolicity | |||
Property / zbMATH Keywords: uniform hyperbolicity / rank | |||
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rough paths | |||
Property / zbMATH Keywords: rough paths / rank | |||
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iterated invariance principle | |||
Property / zbMATH Keywords: iterated invariance principle / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1403.7281 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 10:29, 30 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Smooth approximation of stochastic differential equations |
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Smooth approximation of stochastic differential equations (English)
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21 April 2016
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This paper considers approximations of stochastic differential equations (SDE). For a \(d\)-dimensional Itô process \(X\) expressed by the SDE \[ dX_t = a(X) dt + b(X) dW_t \] with smooth functions \(a\), \(b\) and a \(d\)-dimensional Brownian motion \(W\), the authors consider a sequence \((X^n)_{n \geq 1}\) of ordinary differential equations \[ dX^n_t = a(X^n) dt + b(X^n) dW^n_t, \] where \((W^n)_{n \geq 1}\) is a sequence of \(e\)-dimensional processes with smooth sample paths. Assuming the weak invariance principle (WIP) for the sequence \(W^n\), i.e., \(W^n \to_w W\) in \(C([0,T],\mathbb{R}^e)\), they ask whether \(X^n \to_w X\) in \(C([0,T],\mathbb{R}^d)\). The Wong-Zakai theorem gives general conditions which are satisfied for \(d=e=1\). The paper answers the question of the correct interpretation of the stochastic integral \(\int b(X) * dW\) in order to ensure \(X^n \to_w X\). For that, they first prove the discrete time iterated WIP by using a standard method of passing from invertible maps to noninvertible maps. Then they derive the continuous time WIP by methods of rough path theory and smooth ergodic theory. Moreover, they present a result on cohomological invariance of weak limits of iterated processes and give several generalizations of their main results.
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stochastic differential equations
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stochastic integrals
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Wong-Zakai approximation
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uniform hyperbolicity
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rough paths
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iterated invariance principle
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