scientific article; zbMATH DE number 19574

MaRDI QIDQ3979063zbMATHFDO

Authors Leszek Slominski, Jean Mémin

Publication date 26 June 1992

Full work available at URL http://www.numdam.org/item?id=SPS_1991__25__162_0

zbMATH Keywords

functional limit theoremSkorokhod topologysequence of semimartingalessequence of cadlag processes

Mathematics Subject Classification ID

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

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Cited in

(25)

• A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
• On weak approximations of integrals with respect to fractional Brownian motion
• Backward stochastic differential equations with mean reflection and two constraints
• Weak limits of random coefficient autoregressive processes and their application in ruin theory
• Reflected BSDEs on filtered probability spaces
• Weak solutions of backward stochastic differential equations with continuous generator
• On the convergence of stochastic integrals with respect to \(p\)-semimartingales
• Mean reflected stochastic differential equations with two constraints
• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• Vague convergence of locally integrable martingale measures
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes.
• Cointegrated processes with infinite variance innovations
• Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
• Multivalued monotone stochastic differential equations with jumps
• On reflected Stratonovich stochastic differential equations
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• On the robustness of backward stochastic differential equations.
• A new perspective on the fundamental theorem of asset pricing for large financial markets
• Convergence in various topologies for stochastic integrals driven by semimartingales
• A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
• Functional asymptotic behavior of some random multilinear forms
• Asymptotic error distributions for the Euler method for stochastic differential equations

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