Accession Number : ADA192713

Title :   A Wong-Zakai Type Theorem for Certain Discontinuous Semimartingales,

Corporate Author : BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s) : Ferreyra, Guillermo

PDF Url : ADA192713

Report Date : Jan 1988

Pagination or Media Count : 17

Abstract : 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.

Descriptors :   *DIFFERENTIAL EQUATIONS, *STOCHASTIC PROCESSES, VARIATIONS, THEOREMS, HYPOTHESES

Subject Categories : Numerical Mathematics

Distribution Statement : APPROVED FOR PUBLIC RELEASE