scientific article; zbMATH DE number 933352

zbMATH Open0862.60041MaRDI QIDQ4895006FDOQ4895006

Authors: Thomas G. Kurtz, Philip Protter 

Publication date: 25 May 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

weak convergencenumerical analysisstochastic differential equationsstochastic integralsSkorokhod topologyuniform tightness

Mathematics Subject Classification ID

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

Cited In (51)

• On the convergence of stochastic integrals with respect to \(p\)-semimartingales
• Convergence of stochastic integrals with respect to Hilbert-valued semimartingales
• Approximating diffusion reflections at elastic boundaries
• On Weak Solutions of Stochastic Differential Equations II
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Title not available (Why is that?)
• WEAK CONVERGENCE FOR MULTIPLE STOCHASTIC INTEGRALS IN SKOROHOD SPACE
• Stochastic differential equations driven by processes generated by divergence form operators. II: Convergence results
• Stability results for martingale representations: the general case
• Asymptotic properties of Monte Carlo estimators of diffusion processes
• Convergence of the freely rotating chain to the Kratky-Porod model of semi-flexible polymers
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Hedging of covered options with linear market impact and gamma constraint
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Testing for threshold regulation in presence of measurement error
• Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
• Malliavin Greeks without Malliavin calculus
• Approximation methods for piecewise deterministic Markov processes and their costs
• On the robustness of backward stochastic differential equations.
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• Title not available (Why is that?)
• Tests for cointegration with structural breaks based on subsamples
• BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
• Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales
• A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
• Law of large numbers and central limit theorem for a class of pure jump Markov process
• A decreasing step method for strongly oscillating stochastic models
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Existence, uniqueness and approximation of a stochastic Schrödinger equation: The diffusive case
• Weak approximation of a fractional SDE
• On \((p,q)\)-rough paths
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Title not available (Why is that?)
• The Euler scheme with irregular coefficients
• Forward-backward SDEs with distributional coefficients
• Statistical causality and local uniqueness for solutions of the martingale problem
• The Girsanov theorem without (so much) stochastic analysis
• A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
• Error distributions for random grid approximations of multidimensional stochastic integrals
• Rough flows and homogenization in stochastic turbulence
• Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
• ``Trees under attack: a Ray-Knight representation of Feller's branching diffusion with logistic growth
• Differential equations driven by rough paths with jumps
• Title not available (Why is that?)
• Canonical RDEs and general semimartingales as rough paths
• The multi-dimensional super-replication problem under gamma constraints
• Convergence at first and second order of some approximations of stochastic integrals
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Multiscale analysis of semilinear damped stochastic wave equations
• Title not available (Why is that?)

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