Wong-Zakai approximation of density functions

2023/04/04 by Yuzuru Inahama, Inahama, Yuzuru
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G22 #60H07 #60H35 #60L90 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2304.01449

openalex publication_date 2023/04/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we prove the Wong-Zakai approximation of probability density functions of solutions at a fixed time of rough differential equations driven by fractional Brownian rough path with Hurst parameter H (1/4

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