Approximations of Stochastic Equations Driven by Predictable Processes,
Abstract
A theory of stochastic integral equations driven by predictable processes in Stratonovich sense is developed. These driving processes include a large class of discontinuous semimartingales. The theory of stochastic differential equations driven by continuous semimartingales in Stratonovich sense is extended without involving Lebesgue-Stieltjes integrals as done by Meyer. Moreover, a change of variables formula without extra terms involving the jumps of the processes holds for this theory. Results on approximation of driving processes are preserved.
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1987
- Accession Number
- ADA192714
Entities
People
- Guillermo Ferreyra
Organizations
- Brown University