Wong-Zakai approximation for stochastic differential equations driven by G-Brownian motion
From MaRDI portal
Publication:2116485
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Recommendations
- Exact convergence rate of the Wong–Zakai approximation to RDEs driven by Gaussian rough paths
- Approximation theorem for stochastic differential equations driven by \(G\)-Brownian motion
- Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
- On Wong-Zakai approximation of stochastic differential equations
- Rough path limits of the Wong-Zakai type with a modified drift term
Cites work
- scientific article; zbMATH DE number 3403582 (Why is no real title available?)
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- A Wong-Zakai theorem for stochastic PDEs
- A course on rough paths. With an introduction to regularity structures
- A hypothesis-testing perspective on the \(G\)-normal distribution theory
- 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
- 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
- \(G\)-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
Cited in
(10)- Approximation theorem for stochastic differential equations driven by \(G\)-Brownian motion
- Pathwise convergence under Knightian uncertainty
- \(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
- Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
- A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
- Moment bounds for SPDEs with non-Gaussian fields and application to the Wong-Zakai problem
- Rough path limits of the Wong-Zakai type with a modified drift term
- 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
- Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients
This page was built for publication: Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116485)
