Wong–Zakai Approximation for Stochastic Differential Equations Driven by G -Brownian Motion
2020
In this paper, we build the Wong–Zakai approximation for Stratonovich-type stochastic differential equations driven by G-Brownian motion and obtain the quasi-sure convergence rate under Holder norm by a rough path argument. As a corollary, we obtain the quasi-continuity of solutions of random rough differential equations driven by lifted martingales under a sequence of singular measures.
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