Good rough path sequences and applications to anticipating stochastic calculus

DOI10.1214/009117906000000827MaRDI QIDQ2370100zbMATH OpenOpenAlexFDO

Authors L. Coutin, Nicolas Victoir, Peter Friz

Publication date 22 June 2007

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

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)

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.

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Cited in

(16)

• Stochastic differential equations driven by processes generated by divergence form operators. II: Convergence results
• 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
• 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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