A Wong-Zakai-type theorem for certain discontinuous semimartingales
From MaRDI portal
Publication:1124207
DOI10.1007/BF01054019zbMATH Open0678.60044OpenAlexW2045620454MaRDI QIDQ1124207FDOQ1124207
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
Recommendations
- A Wong-Zakai theorem for stochastic PDEs
- A Wong-Zakai theorem for SDEs with singular drift
- On contiguity of probability measures corresponding to semimartingales
- Some properties of the variance-optimal martingale measure for discontinuous semimartingales
- A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
- On the existence of semimartingales with continuous characteristics
- On Wong–Zakai approximations with δ–martingales
- An extension of the Wong-Zakai theorem for stochastic evolution equations in Hilbert spaces
- Necessary and sufficient conditions for the convergence to nonquasicontinuous semimartingales
Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
Cites Work
- On the Convergence of Ordinary Integrals to Stochastic Integrals
- Modeling and approximation of stochastic differential equations driven by semimartingales†
- A class of singular stochastic control problems
- Approximations of solutions of stochastic differential equations driven by semimartingales
- Approximation of stochastic equations driven by predictable processes
Cited In (4)
This page was built for publication: A Wong-Zakai-type theorem for certain discontinuous semimartingales
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1124207)
