A Wong-Zakai-type theorem for certain discontinuous semimartingales (Q1124207)

This paper extends the author's work, Approximation of stochastic equations driven by predictable processes, to appear in Probab. Theory Relat. Fields, in the investigation of a new definition of solutions for a stochastic differential equation of the type \[ dX(t)=f(X(t))\circ du(t)+g(X(t))dt+(X(t))\circ dW(t),\quad X(0)=X, \] where W is a multi- dimensional Brownian motion, and u is a one-dimensional bounded adapted cadlag process. Such a solution is the limit of solutions, in the Stratonovich sense, of similar equations where u is replaced by a convolution with a window. In the paper cited above this solution is shown to be unique and built through an extension of the Doss-Sussmann argument to prove robustness. Here the author first compares his definition of stochastic integrals w.r.t. u with the standard pathwise Lebesgue-Stieltjes one and uses the resulting formulas to write a stochastic integral equation in which only Stratonovich and Lebesgue-Stieltjes integrals appear and which is satisfied by the solution of the above equation.