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

DOI10.1016/j.bulsci.2011.07.006zbMath1237.60044OpenAlexW2048051664MaRDI QIDQ645940

Peter K. 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)

Related Items (4)

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 ⋮ Numerical schemes for rough parabolic equations ⋮ Convergence rates for the full Gaussian rough paths

Cites Work

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• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations
• Rough path limits of the Wong-Zakai type with a modified drift term
• Flow of diffeomorphisms induced by a geometric multiplicative functional
• Differential equations driven by rough signals
• Multidimensional Stochastic Processes as Rough Paths
• Rough path analysis via fractional calculus
• System Control and Rough Paths

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