A Wong Zakai Type Theorem For Certain Discontinuous Semimartingales
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A Wong-Zakai Type Theorem for Certain Discontinuous Semimartingales
| Author | : Guillermo Ferreyra |
| Publisher | : |
| Total Pages | : 17 |
| Release | : 1988 |
| Genre | : Semimartingales (Mathematics) |
| ISBN | : |
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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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