Stochastic differential equations
- 190 Downloads
We identify the solution to a rough differential equation driven by the Itˆo or Stratonovich lift of Brownian motion with the solution to the corresponding stochastic differential equation. In combination with continuity of the Itˆo–Lyons maps, a quick proof of the Wong–Zakai theorem is given. Applications to Stroock–Varadhan support theory and Freidlin–Wentzell large deviations are briefly discussed.
Unable to display preview. Download preview PDF.