A Wong-Zakai-type theorem for certain discontinuous semimartingales

DOI10.1007/BF01054019zbMath0678.60044OpenAlexW2045620454MaRDI QIDQ1124207

Guillermo Ferreyra

Publication date: 1989

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01054019

zbMATH Keywords

stochastic integral equationrobust equationsStratonovich and Lebesgue-Stieltjes integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Related Items

Approximation of stochastic equations driven by predictable processes, Wong-Zakai approximations for stochastic differential equations

Cites Work

• Approximations of solutions of stochastic differential equations driven by semimartingales
• Approximation of stochastic equations driven by predictable processes
• Modeling and approximation of stochastic differential equations driven by semimartingales^†
• A class of singular stochastic control problems
• On the Convergence of Ordinary Integrals to Stochastic Integrals