scientific article; zbMATH DE number 933352

MaRDI QIDQ4895006zbMATH OpenFDO

Authors Thomas G. Kurtz, Philip Protter

Publication date 25 May 1997

zbMATH Keywords

numerical analysisSkorokhod topologystochastic differential equationsstochastic integralsuniform tightnessweak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(59)

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• Asymptotic error distributions for the Euler method for stochastic differential equations
• Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
• Approximating diffusion reflections at elastic boundaries
• Differential equations driven by rough paths with jumps
• Canonical RDEs and general semimartingales as rough paths
• Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
• BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
• On the robustness of backward stochastic differential equations.
• The Euler scheme with irregular coefficients
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• Error distributions for random grid approximations of multidimensional stochastic integrals
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• A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
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• A decreasing step method for strongly oscillating stochastic models
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• Malliavin Greeks without Malliavin calculus
• Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales
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• WEAK CONVERGENCE FOR MULTIPLE STOCHASTIC INTEGRALS IN SKOROHOD SPACE
• Stability results for martingale representations: the general case
• Approximation methods for piecewise deterministic Markov processes and their costs
• Multiscale analysis of semilinear damped stochastic wave equations
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• Testing for threshold regulation in presence of measurement error
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Limit error distributions of Milstein scheme for stochastic Volterra equations with singular kernels
• Rough homogenization for Langevin dynamics on fluctuating Helfrich surfaces
• Itô's formula for the rearranged stochastic heat equation
• Extended mean-field games with multidimensional singular controls and nonlinear jump impact
• On the weak convergence of multiparameter stochastic integrals
• Weak convergence of stochastic integrals on Skorokhod space in Skorokhod's J₁ and M₁ topologies
• A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
• On the convergence of stochastic integrals with respect to \(p\)-semimartingales

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