关于多重常积分对多重Stratonovich积分的强收敛性

Pub Date : 2020-02-14 DOI:10.5565/PUBLMAT6522114
X. Bardina, C. Rovira
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引用次数: 1

摘要

给定$\{W^{(m)}(t),t\in[0,t]\}_{m\ge1}$一个标准布朗运动$W$in$[0,t]$的近似序列,使得$W^{(m)}(t)$几乎肯定收敛到$W(t)$。我们对$$f(x_1,\ldots,x_n)=f_1(x_1)\ldots f_n(x_n)I_我们将这一结果应用于从均匀输运过程中获得的近似值。
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On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals
Given $\{W^{(m)}(t), t \in [0,T]\}_{m \ge 1}$ a sequence of approximations to a standard Brownian motion $W$ in $[0,T]$ such that $W^{(m)}(t)$ converges almost surely to $W(t)$ we show that, under regular conditions on the approximations, the multiple ordinary integrals with respect to $dW^{(m)}$ converge to the multiple Stratonovich integral. We are integrating functions of the type $$f(x_1,\ldots,x_n)=f_1(x_1)\ldots f_n(x_n) I_{\{x_1\le \ldots \le x_n\}},$$ where for each $i \in \{1,\ldots,n\}$, $f_i$ has continuous derivatives in $[0,T].$ We apply this result to approximations obtained from uniform transport processes.
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