Mollifier approximation of Brownian motion in stochastic integral
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Publication:2277663
The convergence of \(\int^{1}_{0}X_ tdB_ t^{\delta}\) as \(\delta\to 0\) is considered \((B^{\delta}\), \(\delta >0\), is a mollifier approximation of Brownian motion). It is proved that in so-called ``good cases, for example, when the function \(\phi\) (which is used in the construction of the convolution) is the even one, one gets the limit as symmetric (Stratonovich) stochastic integral \(\int^{1}_{0}X_ t\circ dB_ t\).
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Cites work
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- Symmetric stochastic integrals and their approximations
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
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