English

On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals

Probability 2020-02-18 v1

Abstract

Given {W(m)(t),t[0,T]}m1\{W^{(m)}(t), t \in [0,T]\}_{m \ge 1} a sequence of approximations to a standard Brownian motion WW in [0,T][0,T] such that W(m)(t)W^{(m)}(t) converges almost surely to W(t)W(t) we show that, under regular conditions on the approximations, the multiple ordinary integrals with respect to dW(m)dW^{(m)} converge to the multiple Stratonovich integral. We are integrating functions of the type f(x1,,xn)=f1(x1)fn(xn)I{x1xn},f(x_1,\ldots,x_n)=f_1(x_1)\ldots f_n(x_n) I_{\{x_1\le \ldots \le x_n\}}, where for each i{1,,n}i \in \{1,\ldots,n\}, fif_i has continuous derivatives in [0,T].[0,T]. We apply this result to approximations obtained from uniform transport processes.

Keywords

Cite

@article{arxiv.2002.06266,
  title  = {On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals},
  author = {Xavier Bardina and Carles Rovira},
  journal= {arXiv preprint arXiv:2002.06266},
  year   = {2020}
}
R2 v1 2026-06-23T13:42:27.755Z