On Wong–Zakai approximations with δ–martingales
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Publication:3043435
DOI10.1098/rspa.2003.1244zbMath1055.60056OpenAlexW2122161967WikidataQ59701053 ScholiaQ59701053MaRDI QIDQ3043435
György Michaletzky, István Gyöngy
Publication date: 6 August 2004
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2003.1244
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)
Related Items (8)
Variational Principles on Geometric Rough Paths and the Lévy Area Correction ⋮ A (rough) pathwise approach to a class of non-linear stochastic partial differential equations ⋮ Unnamed Item ⋮ Unnamed Item ⋮ On the splitting-up method for rough (partial) differential equations ⋮ Rough path limits of the Wong-Zakai type with a modified drift term ⋮ Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations ⋮ Strong 1.5 order scheme for second-order stochastic differential equations without Levy area
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