Wong-Zakai approximation for stochastic differential equations driven by G-Brownian motion
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Publication:2116485
Ordinary differential equations and systems with randomness (34F05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cites work
- \(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
- G-expectation, G-Brownian motion and related stochastic calculus of Itô type
- A course on rough paths. With an introduction to regularity structures
- A hypothesis-testing perspective on the \(G\)-normal distribution theory
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- A Wong-Zakai theorem for stochastic PDEs
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Controlling rough paths
- Differential equations driven by rough signals
- Financial markets with volatility uncertainty
- From rough path estimates to multilevel Monte Carlo
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- scientific article; zbMATH DE number 3403582 (Why is no real title available?)
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Multidimensional stochastic processes as rough paths. Theory and applications.
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- On the Convergence of Ordinary Integrals to Stochastic Integrals
- On the relation between ordinary and stochastic differential equations
- Ramification of rough paths
- Smooth approximation of stochastic differential equations
- Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
- System Control and Rough Paths
Cited in
(12)- Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
- Rough path limits of the Wong-Zakai type with a modified drift term
- A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
- Pathwise convergence under Knightian uncertainty
- Moment bounds for SPDEs with non-Gaussian fields and application to the Wong-Zakai problem
- Approximation theorem for stochastic differential equations driven by G-Brownian motion
- \(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
- Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients
- Wong–Zakai approximations for quasilinear systems of Itô's-type stochastic differential equations driven by fBm with H > 1 2
- Discrete-time approximation for backward stochastic differential equations driven by G-Brownian motion
- On distribution-dependent stochastic differential equations with non-Lipschitz coefficients driven by G -Brownian motion
- Wong-Zakai approximations for stochastic Volterra equations
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