Good Rough Path Sequences and Applications to Anticipating Stochastic Calculus
نویسنده
چکیده
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process lifted to a rough path. Neither adaptedness of initial point and vector fields nor commuting conditions between vector field is assumed. Under a simple condition on the stochastic process, we show that the unique solution of the above SDE understood in the rough path sense is actually a Stratonovich solution. We then show that this condition is satisfied by the Brownian motion. As application, we obtain rather flexible results such as support theorems, large deviation principles and Wong–Zakai approximations for SDEs driven by Brownian motion along anticipating vectorfields. In particular, this unifies many results on anticipative SDEs.
منابع مشابه
ar X iv : m at h / 05 01 19 7 v 1 [ m at h . PR ] 1 3 Ja n 20 05 GOOD ROUGH PATH SEQUENCES AND APPLICATIONS TO ANTICIPATING & FRACTIONAL STOCHASTIC CALCULUS
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or vector fields is assumed. Under a simple condition on the stochastic process, we show that the unique solution of the above SDE understood in the rough path sense is actually a Stratonovich solution. This condition is s...
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