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- Publisher Website: 10.3934/dcdsb.2020192
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Article: A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
| Title | A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale |
|---|---|
| Authors | |
| Issue Date | 2021 |
| Publisher | American Institute of Mathematical Sciences. The Journal's web site is located at http://www.aimsciences.org/dcdsB.htm |
| Citation | Discrete and Continuous Dynamical Systems. Series B, 2021, v. 26 n. 5, p. 2499-2508 How to Cite? |
| Abstract | We 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 Identifier | http://hdl.handle.net/10722/290587 |
| ISSN | 2021 Impact Factor: 1.497 2020 SCImago Journal Rankings: 0.864 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Liu, X | - |
| dc.contributor.author | Han, G | - |
| dc.date.accessioned | 2020-11-02T05:44:21Z | - |
| dc.date.available | 2020-11-02T05:44:21Z | - |
| dc.date.issued | 2021 | - |
| dc.identifier.citation | Discrete and Continuous Dynamical Systems. Series B, 2021, v. 26 n. 5, p. 2499-2508 | - |
| dc.identifier.issn | 1531-3492 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/290587 | - |
| dc.description.abstract | We 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.language | eng | - |
| dc.publisher | American Institute of Mathematical Sciences. The Journal's web site is located at http://www.aimsciences.org/dcdsB.htm | - |
| dc.relation.ispartof | Discrete and Continuous Dynamical Systems. Series B | - |
| dc.rights | Discrete and Continuous Dynamical Systems. Series B. Copyright © American Institute of Mathematical Sciences. | - |
| dc.rights | This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here]. | - |
| dc.title | A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale | - |
| dc.type | Article | - |
| dc.identifier.email | Han, G: ghan@hku.hk | - |
| dc.identifier.authority | Han, G=rp00702 | - |
| dc.identifier.doi | 10.3934/dcdsb.2020192 | - |
| dc.identifier.scopus | eid_2-s2.0-85108528968 | - |
| dc.identifier.hkuros | 318348 | - |
| dc.identifier.volume | 26 | - |
| dc.identifier.issue | 5 | - |
| dc.identifier.spage | 2499 | - |
| dc.identifier.epage | 2508 | - |
| dc.identifier.isi | WOS:000624972400009 | - |
| dc.publisher.place | United States | - |
| dc.identifier.issnl | 1531-3492 | - |