Toward a Wong–Zakai Approximation for Big Order Generators

Abstract

We give a new approximation with respect of the traditional parametrix method of the solution of a parabolic equation whose generator is of big order and under the Hoermander form. This generalizes to a higher order generator the traditional approximation of Stratonovitch diffusion which put in relation random ordinary differential equation (the leading process is random and of finite energy. When a trajectory of it is chosen, the solution of the equation is defined) and stochastic differential equation (the leading process is random and only continuous and we cannot choose a path in the solution which is only almost surely defined). We consider simple operators where the computations can be fully performed. This approximation fits with the semi-group only and not for the full path measure in the case of a stochastic differential equation.