Electronic Journal of Probability

On the Approximate Solutions of the Stratonovitch Equation

D. Feyel and A. de La Pradelle

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We present new methods for proving the convergence of the classical approximations of the Stratonovitch equation. We especially make use of the fractional Liouville-valued Sobolev space $W^{r,p}({\cal J}_{\alpha,p})$. We then obtain a support theorem for the capacity $c_{r,p}$.

Article information

Electron. J. Probab., Volume 3 (1998), paper no. 7, 14 pp.

Accepted: 13 May 1998
First available in Project Euclid: 29 January 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60G17: Sample path properties
Secondary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H10: Stochastic ordinary differential equations [See also 34F05]

Stratonovitch equations Kolmogorov lemma quasi-sure analysis

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Feyel, D.; de La Pradelle, A. On the Approximate Solutions of the Stratonovitch Equation. Electron. J. Probab. 3 (1998), paper no. 7, 14 pp. doi:10.1214/EJP.v3-29. https://projecteuclid.org/euclid.ejp/1454101767

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