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Article: A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale

TitleA Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
Authors
Issue Date2020
Citation
Discrete and Continuous Dynamical Systems,  How to Cite?
AbstractWe examine a Wong-Zakai type approximation of a family of stochastic differential equations driven by a general càdlàg semimartingale. For such an approximation, compared with the pointwise convergence result by Kurtz, Pardoux and Protter [10,Theorem 6.5], we establish stronger convergence results under the Skorokhod M1-topology, which, among other possible applications, implies the convergence of the first passage time of the solution to the approximating stochastic differential equation.
Persistent Identifierhttp://hdl.handle.net/10722/290587

 

DC FieldValueLanguage
dc.contributor.authorLiu, X-
dc.contributor.authorHan, G-
dc.date.accessioned2020-11-02T05:44:21Z-
dc.date.available2020-11-02T05:44:21Z-
dc.date.issued2020-
dc.identifier.citationDiscrete and Continuous Dynamical Systems, -
dc.identifier.urihttp://hdl.handle.net/10722/290587-
dc.description.abstractWe examine a Wong-Zakai type approximation of a family of stochastic differential equations driven by a general càdlàg semimartingale. For such an approximation, compared with the pointwise convergence result by Kurtz, Pardoux and Protter [10,Theorem 6.5], we establish stronger convergence results under the Skorokhod M1-topology, which, among other possible applications, implies the convergence of the first passage time of the solution to the approximating stochastic differential equation.-
dc.languageeng-
dc.relation.ispartofDiscrete and Continuous Dynamical Systems-
dc.titleA Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale-
dc.typeArticle-
dc.identifier.emailHan, G: ghan@hku.hk-
dc.identifier.authorityHan, G=rp00702-
dc.identifier.hkuros318348-

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