Good rough path sequences and applications to anticipating stochastic calculus

Abstract

We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process lifted to a rough path. Neither adaptedness of initial point and vector fields nor commuting conditions between vector field 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. We then show that this condition is satisfied by the Brownian motion. As application, we obtain rather flexible results such as support theorems, large deviation principles and Wong--Zakai approximations for SDEs driven by Brownian motion along anticipating vectorfields. In particular, this unifies many results on anticipative SDEs.

Published at http://dx.doi.org/10.1214/009117906000000827 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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