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math.PR2017★ 5 cited
Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations
Bilel Kacem Ben Ammou, Alberto Lanconelli
We consider a class of stochastic differential equations driven by a one dimensional Brownian motion and we investigate the rate of convergence for Wong-Zakai-type approximated sol…
math.PR2017
Standardizing densities on Gaussian spaces
Alberto Lanconelli
In the present note we investigate the problem of standardizing random variables taking values on infinite dimensional Gaussian spaces. In particular, we focus on the transformatio…