Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows

DOI10.1016/J.BULSCI.2011.07.006MaRDI QIDQ645940zbMATH OpenOpenAlexFDO

Authors Peter Friz, Sebastian Riedel

Publication date 11 November 2011

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2011.07.006

zbMATH Keywords

limit theorems for stochastic flows

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Recommendations

• Convergence rates for the full Gaussian rough paths
• The rate of quasi sure convergence of a functional limit theorem for a Brownian motion
• Rate of convergence in limit theorems for Brownian excursions
• The rate of convergence in the functional limit theorem for increments of a Brownian motion
• scientific article; zbMATH DE number 563025
• The rate of quasi sure convergence in the functional limit theorem for increments of a Brownian motion
• The rate of convergence for increments of a Brownian motion in Hölder norm
• Rates of convergence for increments of Brownian motion
• Rates of convergence of diffusions with drifted Brownian potentials

Cites work

• scientific article; zbMATH DE number 1014073 (Why is no real title available?)
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• Differential equations driven by rough signals
• Flow of diffeomorphisms induced by a geometric multiplicative functional
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations
• Rough path analysis via fractional calculus
• Rough path limits of the Wong-Zakai type with a modified drift term
• System Control and Rough Paths

Cited in

(6)

• Numerical schemes for rough parabolic equations
• Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions
• Convergence rates for the full Gaussian rough paths
• Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
• Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I
• scientific article; zbMATH DE number 563025 (Why is no real title available?)

This page was built for publication: Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q645940)