On Wong-Zakai approximation of stochastic differential equations

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.

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Year of publication:	1983
Authors:	Konecny, Franz
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 13.1983, 4, p. 605-611
Publisher:	Elsevier
Subject:	Stochastic differential equations semimartingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005199801