A Wong-Zakai Type Theorem for Certain Discontinuous Semimartingales,

Abstract

Solutions of stochastic differential equations having differentials of bounded variation processes on the right hand side can be defined by means of Lebesgue Stieltjes integrals or by continuous extension of Stieltjes integrals. Both solutions are compared here and formulas that extend the Wong-Zakai theorem are obtained.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1988
Accession Number
ADA192713

Entities

People

  • Guillermo Ferreyra

Organizations

  • Brown University

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DTIC Thesaurus Topics

  • Air Force
  • Air Force Facilities
  • Applied Mathematics
  • Brownian Motion
  • Classification
  • Contracts
  • Differential Equations
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  • Integrals
  • J Integrals
  • Mathematics
  • Probability
  • Security
  • Stochastic Control
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Fields of Study

  • Mathematics

Readers

  • Fluid Dynamics.
  • Mathematical Modeling and Probability Theory.