Weak limit theorems for stochastic integrals and stochastic differential equations (Q1176362)

Assuming that \(\{(X_ n,Y_ n)\}\) is a sequence of cadlag processes converging in distribution to \((X,Y)\) in the Skorokhod topology, conditions are given under which the sequence \(\{\int X_ n dY_ n\}\) of stochastic integrals converges in distribution to \(\int X dY\). This result is related to that of \textit{A. Jakubowski}, \textit{J. Mémin} and \textit{G. Pages} [Probab. Theory Relat. Fields 81, No. 1, 111-137 (1989; Zbl 0638.60049)]. Several examples of applications are given drawn from statistics and filtering theory. As a particular application conditions are found under which solutions of a sequence of stochastic differential equations \(dX_ n=dU_ n+F_ n(X_ n)dY_ n\) converge in distribution to a solution of \(dX=dU+F(X)dY\). This generalizes results of \textit{L. Słomiński} [Stochastic Processes Appl. 31, No. 2, 173-202 (1989; Zbl 0673.60065)].