Rough path limits of the Wong-Zakai type with a modified drift term

DOI10.1016/J.JFA.2009.02.010zbMATH Open1169.60011arXiv0808.0337OpenAlexW1604692157MaRDI QIDQ1019700FDOQ1019700

Authors: Harald Oberhauser, Peter Friz 

Publication date: 4 June 2009

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: The Wong-Zakai theorem asserts that ODEs driven by "reasonable" (e.g. piecewise linear) approximations of Brownian motion converge to the corresponding Stratonovich stochastic differential equation. With the aid of rough path analysis, we study "non-reasonable" approximations and go beyond a well-known criterion of [Ikeda--Watanabe, North Holland 1989] in the sense that our result applies to perturbations on all levels, exhibiting additional drift terms involving any iterated Lie brackets of the driving vector fields. In particular, this applies to the approximations by McShane ('72) and Sussmann ('91). Our approach is not restricted to Brownian driving signals. At last, these ideas can be used to prove optimality of certain rough path estimates.

Full work available at URL: https://arxiv.org/abs/0808.0337

Recommendations

• Exact convergence rate of the Wong–Zakai approximation to RDEs driven by Gaussian rough paths
• scientific article; zbMATH DE number 4213159
• Extending the Wong-Zakai theorem to reversible Markov processes
• On Wong-Zakai approximation of stochastic differential equations
• Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion

zbMATH Keywords

rough paths analysisiterated Lie brackets in limit processes of differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Cites Work

• Title not available (Why is that?)
• Differential equations driven by rough signals
• Euler estimates for rough differential equations
• On \((p,q)\)-rough paths
• Title not available (Why is that?)
• Title not available (Why is that?)
• Non-degeneracy of Wiener functionals arising from rough differential equations
• Title not available (Why is that?)
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Differential equations driven by Gaussian signals
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Extending the Wong-Zakai theorem to reversible Markov processes
• Title not available (Why is that?)
• A note on the notion of geometric rough paths
• Approximations of the Brownian rough path with applications to stochastic analysis
• The Burkholder-Davis-Gundy inequality for enhanced martingales
• On Wong–Zakai approximations with δ–martingales
• On uniformly subelliptic operators and stochastic area
• Semi-martingales and rough paths theory
• Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem

Cited In (28)

• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
• Integrability of (Non-)Linear Rough Differential Equations and Integrals
• Rough integrators on Banach manifolds
• Stabilization by unbounded‐variation noises
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
• Integrability and tail estimates for Gaussian rough differential equations
• Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
• Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I
• Partial differential equations driven by rough paths
• Unbounded rough drivers
• The functional Itō formula under the family of continuous semimartingale measures
• Wong-Zakai approximations with convergence rate for stochastic partial differential equations
• Variational Principles on Geometric Rough Paths and the Lévy Area Correction
• A rough path perspective on renormalization
• A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
• Discretely sampled signals and the rough Hoff process
• Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
• Random walks and Lévy processes as rough paths
• Cubature on Wiener space: pathwise convergence
• Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows
• Solving linear parabolic rough partial differential equations
• Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem
• Title not available (Why is that?)
• Central limit theorems for the Brownian motion on large unitary groups
• Rough path stability of (semi-)linear SPDEs
• Canonical RDEs and general semimartingales as rough paths
• Penalisation techniques for one-dimensional reflected rough differential equations
• Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter \(H \in (\frac13, \frac12)\)

This page was built for publication: Rough path limits of the Wong-Zakai type with a modified drift term

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1019700)