Approximation of stochastic equations driven by predictable processes
type: Item
instance of: scholarly article
title: Approximation of stochastic equations driven by predictable processes
zbMATH Open document ID: 0661.60070
DOI: 10.1007/BF00964371
author: Guillermo Ferreyra
publication date: 1989-01-01T00:00:00Z
review text: A theory of stochastic differential 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.
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 4080544
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: discontinuous semimartingales
zbMATH Keywords: change of variables formula
zbMATH Keywords: approximation of driving processes
zbMATH Keywords: Stratonovich integration
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf00964371
OpenAlex ID: W1969138629
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
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description: scientific article; zbMATH DE number 4080544