On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals
Probability
2020-02-18 v1
Abstract
Given a sequence of approximations to a standard Brownian motion in such that converges almost surely to we show that, under regular conditions on the approximations, the multiple ordinary integrals with respect to converge to the multiple Stratonovich integral. We are integrating functions of the type where for each , has continuous derivatives in 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}
}