Geodesic
Stochastic differential equations driven by processes generated by divergence form operators II : convergence results
ESAIM: Probability and Statistics, Tome 12 (2008), pp. 387-411

Voir la notice de l'article provenant de la source Numdam

MR

We have seen in a previous article how the theory of “rough paths” allows us to construct solutions of differential equations driven by processes generated by divergence form operators. In this article, we study a convergence criterion which implies that one can interchange the integral with the limit of a family of stochastic processes generated by divergence form operators. As a corollary, we identify stochastic integrals constructed with the theory of rough paths with Stratonovich or Itô integrals already constructed for stochastic processes generated by divergence form operators by using time-reversal techniques.

DOI : 10.1051/ps:2007040
Classification : 60H10, 60J60
Keywords: rough paths, stochastic differential equations, stochastic process generated by divergence form operators, condition UTD, convergence of stochastic integrals 
Lejay, Antoine. Stochastic differential equations driven by processes generated by divergence form operators II : convergence results. ESAIM: Probability and Statistics, Tome 12 (2008), pp. 387-411. doi: 10.1051/ps:2007040
@article{PS_2008__12__387_0,
     author = {Lejay, Antoine},
     title = {Stochastic differential equations driven by processes generated by divergence form operators {II} : convergence results},
     journal = {ESAIM: Probability and Statistics},
     pages = {387--411},
     year = {2008},
     publisher = {EDP-Sciences},
     volume = {12},
     doi = {10.1051/ps:2007040},
     mrnumber = {2437716},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps:2007040/}
}
TY  - JOUR
AU  - Lejay, Antoine
TI  - Stochastic differential equations driven by processes generated by divergence form operators II : convergence results
JO  - ESAIM: Probability and Statistics
PY  - 2008
SP  - 387
EP  - 411
VL  - 12
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps:2007040/
DO  - 10.1051/ps:2007040
LA  - en
ID  - PS_2008__12__387_0
ER  - 
%0 Journal Article
%A Lejay, Antoine
%T Stochastic differential equations driven by processes generated by divergence form operators II : convergence results
%J ESAIM: Probability and Statistics
%D 2008
%P 387-411
%V 12
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps:2007040/
%R 10.1051/ps:2007040
%G en
%F PS_2008__12__387_0

Cité par Sources :