Noncausal calculus approach to Wong-Zakai's theorem on the approximation of SDE by physically realizable model

DOI10.1007/s13160-023-00575-wzbMath1515.60169OpenAlexW4360616643WikidataQ122259560 ScholiaQ122259560MaRDI QIDQ6104306

Shigeyoshi Ogawa

Publication date: 28 June 2023

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-023-00575-w

zbMATH Keywords

Brownian motionSDEnoncausal stochastic integralsnoncausal Itô formula

Mathematics Subject Classification ID

Brownian motion (60J65) Differentiation (real functions of one variable): general theory, generalized derivatives, mean value theorems (26A24) Stochastic integrals (60H05)

Cites Work

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• Mean value theorems for the noncausal stochastic integral
• On the relation between ordinary and stochastic differential equations
• On the convergence of sums of independent Banach space valued random variables
• The stochastic integral of noncausal type as an extension of the symmetric integrals
• Noncausal Stochastic Calculus
• On a Riemann definition of the stochastic integral, I
• On a Riemann definition of the stochastic integral, II
• A partial differential equation with the white noise as a coefficient

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