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

DOI10.1016/J.BULSCI.2011.07.006zbMATH Open1237.60044OpenAlexW2048051664MaRDI QIDQ645940FDOQ645940

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

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zbMATH Keywords

limit theorems for stochastic flows

Mathematics Subject Classification ID

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

Cites Work

• Differential equations driven by rough signals
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Rough path analysis via fractional calculus
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• System Control and Rough Paths
• Title not available (Why is that?)
• Flow of diffeomorphisms induced by a geometric multiplicative functional
• Rough path limits of the Wong-Zakai type with a modified drift term
• Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations

Cited In (6)

• Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions
• Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I
• Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
• Numerical schemes for rough parabolic equations
• Title not available (Why is that?)
• Convergence rates for the full Gaussian rough paths

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