Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus
Abstract
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or vector fields is assumed. Under a simple condition on the stochastic process, we show that the unique solution of the above SDE understood in the rough path sense is actually a Stratonovich solution. This condition is satisfied by the Brownian motion and the fractional Brownian motion with Hurst parameter greater than 1/4. As application, we obtain rather flexible results such as support theorems, large deviation principles and Wong-Zakai approximations for SDEs driven by fractional Brownian Motion along anticipating vectorfields. In particular, this unifies many results on anticipative SDEs.
Keywords
Cite
@article{arxiv.math/0501197,
title = {Good Rough Path Sequences and Applications to Anticipating & Fractional Stochastic Calculus},
author = {Laure Coutin and Peter Friz and Nicolas Victoir},
journal= {arXiv preprint arXiv:math/0501197},
year = {2007}
}