Accession Number : ADA192714

Title :   Approximations of Stochastic Equations Driven by Predictable Processes,

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

Personal Author(s) : Ferreyra, Guillermo

PDF Url : ADA192714

Report Date : Dec 1987

Pagination or Media Count : 13

Abstract : A theory of stochastic integral 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.

Descriptors :   *INTEGRAL EQUATIONS, *STOCHASTIC PROCESSES, DIFFERENTIAL EQUATIONS, FORMULATIONS, PREDICTIONS, VARIABLES, APPROXIMATION(MATHEMATICS)

Subject Categories : Numerical Mathematics

Distribution Statement : APPROVED FOR PUBLIC RELEASE