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| HAL : inria-00092426, version 1 |
| DOI : 10.1051/ps:2006015 |
| Voir la fiche détaillée |  BibTeX,EndNote,... |
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| ESAIM: Probability and Statistics 10 (2006) 356-379 |
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| Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators I: A Wong-Zakai Theorem |
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| Antoine Lejay 1, 2 |
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| (2006) |
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| We show in this article how the theory of "rough paths" allows us to construct solutions of differential equations (SDEs) driven by processes generated by divergence-form operators. For that, we use approximations of the trajectories of the stochastic process by piecewise smooth paths. A result of type Wong-Zakai follows immediately. |
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| 1 : | Institut Elie Cartan Nancy (IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| 2 : | OMEGA (INRIA Sophia Antipolis / INRIA Lorraine / IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II |
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| Domaine | : | Mathématiques/Probabilités |
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| Rough paths – stochastic differential equations – stochastic process generated by divergence-form operators – Dirichlet process – approximation of trajectories |
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| Liste des fichiers attachés à ce document : | |||||
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| inria-00092426, version 1 | |
| http://hal.inria.fr/inria-00092426 | |
| oai:hal.inria.fr:inria-00092426 | |
| Contributeur : Antoine Lejay | |
| Soumis le : Dimanche 10 Septembre 2006, 13:27:49 | |
| Dernière modification le : Mercredi 27 Septembre 2006, 22:56:22 | |
