HAL : inria-00092427, version 3

DOI : 10.1051/ps:2007040

Voir la fiche détaillée

BibTeX,EndNote,... BibTeX - EndNote - TEI - RefWorks -

ESAIM: Probability and Statistics 12 (2008) 387-411

Versions disponibles

v1 (11-09-2006)

v2 (06-12-2006)

v3 (05-06-2007)

Stochastic Differential Equations Driven by Processes Generated by Divergence Form Operators II: Convergence results

Antoine Lejay 1, 2

(2008)

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.

1 :	Institut Elie Cartan Nancy (IECN)
	CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine
2 :	TOSCA (INRIA Sophia Antipolis / INRIA Lorraine / IECN)
	INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine

Domaine

:

Mathématiques/Probabilités

Mots-clés : Rough paths – stochastic differential equations – stochastic process generated by divergence form operators – Condition UTD – convergence of stochastic integrals

inria-00092427, version 3

http://hal.inria.fr/inria-00092427

oai:hal.inria.fr:inria-00092427

Contributeur : Antoine Lejay <>

Soumis le : Mardi 5 Juin 2007, 18:24:41

Dernière modification le : Mercredi 24 Septembre 2008, 15:21:16