A Wong-Zakai-type theorem for certain discontinuous semimartingales

DOI10.1007/BF01054019MaRDI QIDQ1124207zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

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

Cited in

(4)

• Approximation of stochastic equations driven by predictable processes
• Wong-Zakai approximations for stochastic differential equations
• On Wong-Zakai approximation of stochastic differential equations
• Stratonovich stochastic differential equations driven by general semimartingales

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