Approximating multiple itô integrals with "band limited" processes

DOI10.1080/17442508408833334zbMath0566.60053OpenAlexW1978326559MaRDI QIDQ3681667

Harold J. Kushner, Hai Huang

Publication date: 1985

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833334

zbMATH Keywords

likelihood ratioconvergence propertiesmultiple integralsSkorokhod spacestrongly mixing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Markov processes: hypothesis testing (62M02)

Related Items (1)

Approximate and limit results for nonlinear filters with wide bandwith observation noise

Cites Work

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• Semigroups of conditioned shifts and approximation of Markov processes
• A martingale method for the convergence of a sequence of processes to a jump-diffusion process
• Multiple Integral Expansions for Nonlinear Filtering
• Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides
• Asymptotic theory of mixing stochastic ordinary differential equations
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control
• On the Approximation of Ito Integrals Using Band-Limited Processes

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