Good rough path sequences and applications to anticipating stochastic calculus

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.

Review text

This article is concerned with anticipative Stratonovich stochastic differential equations \[ d Y_t = V_0(Y_t) d t + \sum_{i=1}^d V_i(Y_t)\circ d B^i_t, \quad Y_0 = y_0 \] driven by some stochastic process which will be lifted to a rough path in a Lie group. Neither adaptedness of the initial point \(y_0\) and the \(C^1\) vector field \(V = (V_0,\dots, V_d)\) nor commuting conditions for the latter are assumed. Under simple conditions on the stochastic process, the authors prove that the unique solution of the above SDE understood in the rough path sense is actually a Stratonovich solution. It is shown that this condition is satisfied by Brownian motion. As applications, the authors obtain rather flexible results for these solutions such as support theorems, large deviation principles and Wong-Zakai approximations for SDEs driven by Brownian motion along anticipating vectorfields. The authors suggest that this perspective may unify many results on anticipative SDEs.

Recommendations

Cites work

Cited in

(19)

This page was built for publication: Good rough path sequences and applications to anticipating stochastic calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2370100)