Wong–Zakai Approximation for Stochastic Differential Equations Driven by G-Brownian Motion

Shige Peng () and Huilin Zhang ()
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Shige Peng: Shandong University
Huilin Zhang: Fudan University

Journal of Theoretical Probability, 2022, vol. 35, issue 1, 410-425

Abstract: Abstract 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 Hölder 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.

Keywords: G-expectation; rough paths; Wong–Zakai approximation; quasi-sure continuity; 60H10; 60H35; 34F05 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10959-020-01058-1

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