Rough path limits of the Wong–Zakai type with a modified drift term

Journal article

The Wong-Zakai theorem asserts that ODEs driven by "reasonable" (e.g. piecewise linear) approximations of Brownian motion converge to the corresponding Stratonovich stochastic differential equation. With the aid of rough path analysis, we study "non-reasonable" approximations and go beyond a well-known criterion of [Ikeda, Watanabe, North Holland, 1989] in the sense that our result applies to perturbations on all levels, exhibiting additional drift terms involving any iterated Lie brackets of the driving vector fields. In particular, this applies to the approximations by McShane ('72) and Sussmann ('91). Our approach is not restricted to Brownian driving signals. At last, these ideas can be used to prove optimality of certain rough path estimates.

Authors: Friz, P; Oberhauser, H

• Publication status: Published
• Peer review status: Peer reviewed
• Publisher: Elsevier
• Journal: Journal of Functional Analysis
• Volume: 256
• Issue: 10
• Pages: 3236-3256
• Publication date: 2009-03-09
• Acceptance date: 2009-02-17
• DOI: 10.1016/j.jfa.2009.02.010
• EISSN: 1096-0783
• ISSN: 0022-1236
• Language: English
• Keywords: rough paths analysis; iterated lie brackets in limit processes of differential equations