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Toward a Wong-Zakai approximation for big order generators

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FDE2 - Fractional differential equations

In this talk, I give an approach of the classical Wong-Zakai approximation for diffusions to some big order generators under Hoermander’s form. This works for commuting vector fields (in such a case this correspond to the exact formula of Doss-Sussman for diffusions) and for a Lie group. This gives a new approximation of the solution of parabolic equations different to the classical parametrix approximation, which gives for diffusion the Euler-Maruyama approximation of an Ito diffusion. Reference: Toward a Wong-Zakai approximation for big order generators. In “Symmetry in ordinary and partial  differential equations and applications” C. Vetro edt. Symmetry. (2020).

This talk is part of the Isaac Newton Institute Seminar Series series.

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