On Wong-Zakai approximation of stochastic differential equations

Franz Konecny

Journal of Multivariate Analysis, 1983, vol. 13, issue 4, 605-611

Abstract: An approximation theorem of stochastic differential equations driven by semimartingales is proved, based on approximation of semimartingales by a sequence of processes with piecewise monotonic sample functions.

Keywords: Stochastic; differential; equations; semimartingales (search for similar items in EconPapers)
Date: 1983
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