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arXiv · 0808.0337

Non-standard approximations of the Ito-map

Peter Friz·Harald Oberhauser
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Abstract

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.

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Peter Friz, Harald Oberhauser. 2008-08-03. Non-standard approximations of the Ito-map. https://doi.org/10.1016/j.jfa.2009.02.010

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