Smooth approximation of stochastic differential equations

DOI10.1214/14-AOP979zbMath1372.60082arXiv1403.7281MaRDI QIDQ272965

F. Blanchet-Sadri, M. Dambrine

Publication date: 21 April 2016

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

Full work available at URL: https://arxiv.org/abs/1403.7281

zbMATH Keywords

stochastic differential equations; stochastic integrals; rough paths; uniform hyperbolicity; iterated invariance principle; Wong-Zakai approximation

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

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

60H05: Stochastic integrals

37A50: Dynamical systems and their relations with probability theory and stochastic processes

37D20: Uniformly hyperbolic systems (expanding, Anosov, Axiom A, etc.)

60F17: Functional limit theorems; invariance principles

37D25: Nonuniformly hyperbolic systems (Lyapunov exponents, Pesin theory, etc.)

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