Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem

DOI10.1051/ps:2006015zbMath1181.60085OpenAlexW2094550301MaRDI QIDQ5429583

Antoine Lejay

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2006__10__356_0

zbMATH Keywords

stochastic differential equationsDirichlet processrough pathsapproximation of trajectoriesstochastic process generated by divergence-form operators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (10)

A support and density theorem for Markovian rough paths ⋮ A version of Hörmander's theorem for Markovian rough paths ⋮ On uniformly subelliptic operators and stochastic area ⋮ Euler estimates for rough differential equations ⋮ A Donsker theorem to simulate one-dimensional processes with measurable coefficients ⋮ Stochastic differential equations driven by processes generated by divergence form operators II: convergence results ⋮ Rough path limits of the Wong-Zakai type with a modified drift term ⋮ Partial differential equations driven by rough paths ⋮ Yet another introduction to rough paths ⋮ SELF EXCITING THRESHOLD INTEREST RATES MODELS

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