Journal article
Extending the Wong-Zakai theorem to reversible Markov processes
- Abstract:
-
We show how to construct a canonical choice of stochastic area for paths of reversible Markov processes satisfying a weak Holder condition, and hence demonstrate that the sample paths of such processes are rough paths in the sense of Lyons. We further prove that certain polygonal approximations to these paths and their areas converge in pvariation norm. As a corollary of this result and standard properties of rough paths, we are able to provide a significant generalization of the classical re...
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- Publication status:
- Published
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- Publisher copy:
- 10.1007/s100970200040
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Authors
Bibliographic Details
- Journal:
- JOURNAL OF THE EUROPEAN MATHEMATICAL SOCIETY
- Volume:
- 4
- Issue:
- 3
- Pages:
- 237-269
- Publication date:
- 2002-09-01
- DOI:
- EISSN:
-
1435-9863
- ISSN:
-
1435-9855
- Source identifiers:
-
20397
Item Description
- Language:
- English
- Pubs id:
-
pubs:20397
- UUID:
-
uuid:494e3b3b-dd44-48c8-9a20-4070a31778ff
- Local pid:
- pubs:20397
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2002
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