Stratonovich Anticipative Stochastic Differential Equations In The Plane (Q4949458)

Given the canonical \(r\)-dimensional Brownian sheet \(W= \{W_{s,t},(s,t)\in [0,1]^2\}\) over \(\Omega= C([0, 1]^2; R^r)\) and functions \(\sigma: R^d\to R^{d\times r}\), \(b: R^d\to R^d\) of class \(C^\infty_b\), the authors study properties of the solution \(X_{s,t}(x,\omega)\), \((s,t,x)\in [0,1]^2\times R^d\), of the stochastic differential equation (SDE) with Stratonovich integral \[ dX_{s,t}(x)= \sigma(X_{s,t}(x)) dW_{s,t}+ b(X_{s,t}(X)) ds dt,\quad X_{0,t}= X_{s,0}= X,\quad s,t,\in [0,1]. \] Existence and uniqueness of the solution \((X_{s,t}(x,\omega))\) was proved by \textit{J. Yeh} [Pac. J. Math. 97, 217-247 (1981; Zbl 0516.60068)] while, respectively, J. Reh and X. Zhang have got that, for each \(x\in R^d\), there exists an \(\infty\)-quasi-continuous redefinition \(\{X^*_{s,t}(x, \omega),(s,t)\in [0,1]^2\}\) of \(\{X_{s,t}(x,\omega), (s,t)\in [0,1]^2\}\). Using the results and arguments given by J. Reh and X. Zhang, the authors of the present paper show that, on the complement \(A^c\) of some slim subset \(A\subset\Omega\) which does not depend on \(x\in R^d\), the Stratonovich integral is the limit of the Riemann sums (appearing in the definition of the Stratonovich integral), uniformly in \((s,t)\in [0,1]^2\). The proof is based on the quasi-sure version of Kolmogorov's continuity criterion. This result has allowed the authors to conclude that the composition \(Y_{s,t}= X^*_{s,t}(X_0)\) of \(X^*_{s,t}(\cdot)\) with a random variable \(X_0\) which is smooth and nondegenerate in the sense of the Malliavin calculus, is a solution to the Stratonovich SDE with initial condition \(X_0\). This generalizes earlier results by \textit{D. Ocone} and \textit{E. Pardoux} [Ann. Inst. Henri Poincaré, Probab. Stat. 25, No. 1, 39-71 (1989; Zbl 0674.60057)] and \textit{P. Malliavin} and \textit{D. Nualart} [Probab. Theory Relat. Fields 96, No. 1, 45-55 (1993; Zbl 0791.60040)] from the one- to the two-parameter case.