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

DOI10.1016/J.JFA.2009.02.010MaRDI QIDQ1019700zbMATH OpenOpenAlexFDO

Authors Harald Oberhauser, Peter Friz

Publication date 4 June 2009

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

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

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)

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.

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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
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
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