A Wong–Zakai type approximation for two-parameter processes1

DOI10.1081/SAP-120004117zbMath1002.60054OpenAlexW2028157499MaRDI QIDQ3146477

Kyuseok Lee, Jong Woo Jeon, Yoon Tae Kim

Publication date: 1 January 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120004117

zbMATH Keywords

inequalitiesstochastic differential equationordinary differential equationstochastic integralStratonovich integralapproximation of a two-parameter Wiener processtwo-parameter Burkholder's inequalitytwo-parameter piecewise linear approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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