Smooth approximation of stochastic differential equations

DOI10.1214/14-AOP979zbMath1372.60082arXiv1403.7281OpenAlexW1919802340MaRDI QIDQ272965

F. Blanchet-Sadri, M. Dambrine

Publication date: 21 April 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.7281

zbMATH Keywords

stochastic differential equationsstochastic integralsrough pathsuniform hyperbolicityiterated invariance principleWong-Zakai approximation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Uniformly hyperbolic systems (expanding, Anosov, Axiom A, etc.) (37D20) Functional limit theorems; invariance principles (60F17) Nonuniformly hyperbolic systems (Lyapunov exponents, Pesin theory, etc.) (37D25)

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