Good rough path sequences and applications to anticipating stochastic calculus

DOI10.1214/009117906000000827zbMATH Open1132.60053arXiv0707.4546OpenAlexW2049386710MaRDI QIDQ2370100FDOQ2370100

Nicolas Victoir, L. Coutin, Peter Friz

Publication date: 22 June 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process lifted to a rough path. Neither adaptedness of initial point and vector fields nor commuting conditions between vector field is assumed. Under a simple condition on the stochastic process, we show that the unique solution of the above SDE understood in the rough path sense is actually a Stratonovich solution. We then show that this condition is satisfied by the Brownian motion. As application, we obtain rather flexible results such as support theorems, large deviation principles and Wong--Zakai approximations for SDEs driven by Brownian motion along anticipating vectorfields. In particular, this unifies many results on anticipative SDEs.

Full work available at URL: https://arxiv.org/abs/0707.4546

zbMATH Keywords

rough pathsanticipative stochastic calculusgood rough pathsStratonovich equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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Cited In (16)

• The extension of step-N signatures
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
• Enhanced Gaussian processes and applications
• Physical Brownian motion in a magnetic field as a rough path
• Differential equations driven by Gaussian signals
• Support theorems for a class of anticipating stochastic differentialequations
• Nonsemimartingales: stochastic differential equations and weak Dirichlet processes
• Analysis of the gradient of the solution to a stochastic heat equation via fractional Brownian motion
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Stochastic control with rough paths
• A stochastic Taylor-like expansion in the rough path theory
• Time reversal of Volterra processes driven stochastic differential equations
• Stochastic differential equations driven by processes generated by divergence form operators II: convergence results
• Canonical RDEs and general semimartingales as rough paths
• Optimal pointwise approximation of anticipating SDEs
• Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes

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