Approximating multiple itô integrals with "band limited" processes

DOI10.1080/17442508408833334MaRDI QIDQ3681667zbMATH OpenOpenAlexFDO

Authors 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

convergence propertieslikelihood ratiomultiple integralsSkorokhod spacestrongly mixing

Mathematics Subject Classification ID

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

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Cites work

• A martingale method for the convergence of a sequence of processes to a jump-diffusion process
• Asymptotic theory of mixing stochastic ordinary differential equations
• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 3719758 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides
• Multiple Integral Expansions for Nonlinear Filtering
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control
• On the Approximation of Ito Integrals Using Band-Limited Processes
• Semigroups of conditioned shifts and approximation of Markov processes

Cited in

(2)

• Approximation of Itô Integrals Arising in Stochastic Time-Delayed Systems
• Approximate and limit results for nonlinear filters with wide bandwith observation noise

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