Wong-Zakai approximation of density functions
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2023
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866908465528569856 |
|---|---|
| author | Inahama, Yuzuru |
| author_facet | Inahama, Yuzuru |
| contents | In this paper we prove the Wong-Zakai approximation of probability density functions of solutions at a fixed time of rough differential equations driven by fractional Brownian rough path with Hurst parameter $H$ $(1/4 <H \leq 1/2)$. Besides rough path theory, we use Hu-Watanabe's approximation theorem in the framework of Watanabe's distributional Malliavin calculus. When $H=1/2$, the random rough differential equations coincide with the corresponding Stratonovich-type stochastic differential equations. Even for that case, our main result seems new. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2304_01449 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Wong-Zakai approximation of density functions Inahama, Yuzuru Probability 60H35, 60L90, 60H07, 60G22 In this paper we prove the Wong-Zakai approximation of probability density functions of solutions at a fixed time of rough differential equations driven by fractional Brownian rough path with Hurst parameter $H$ $(1/4 <H \leq 1/2)$. Besides rough path theory, we use Hu-Watanabe's approximation theorem in the framework of Watanabe's distributional Malliavin calculus. When $H=1/2$, the random rough differential equations coincide with the corresponding Stratonovich-type stochastic differential equations. Even for that case, our main result seems new. |
| title | Wong-Zakai approximation of density functions |
| topic | Probability 60H35, 60L90, 60H07, 60G22 |
| url | https://arxiv.org/abs/2304.01449 |