Exact convergence rate of the Wong–Zakai approximation to RDEs driven by Gaussian rough paths
Exact convergence rate of the Wong–Zakai approximation to RDEs driven by Gaussian rough paths
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DOI：
10.1080/17442508.2016.1178750
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发表时间：
2016-05
期刊：
影响因子：
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通讯作者：
Nobuaki Naganuma
中科院分区：
文献类型：
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作者：
Nobuaki Naganuma
我们考虑了一个由高斯过程驱动的随机微分方程在粗糙微分方程意义下的解，以及该解的Wong-Zakai逼近。我们给出了Wong-Zakai近似的误差上界。我们还表明，在特定的情况下，上界是最优的。
We consider a solution to a stochastic differential equation driven by a Gaussian process in the rough differential equation sense and the Wong–Zakai approximation to the solution. We give an upper bound of the error of the Wong–Zakai approximation. We also show that the upper bound is optimal in a particular case.