American Institute of Mathematical Sciences

Advanced
May  2021, 26(5): 2499-2508. doi: 10.3934/dcdsb.2020192

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

Xianming Liu 1,, and  Guangyue Han 2,

1. 

School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan, 430074, China
2. 

Department of Mathematics, The University of Hong Kong, Hong Kong, China

* Corresponding author: Xianming Liu

Received  August 2019 Revised  March 2020 Published  June 2020

Fund Project: The first author is supported by NSF grants of China No. 11971186

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 $ M_1 $-topology, which, among other possible applications, implies the convergence of the first passage time of the solution to the approximating stochastic differential equation.

Keywords: Wong-Zakai approximation, stochastic differential equation, semimartingale, the Skorokhod $ M_1 $-topology, random time change.
Mathematics Subject Classification: Primary: 60H10; Secondary: 34F05.
Citation: Xianming Liu, Guangyue Han. A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale. Discrete & Continuous Dynamical Systems - B, 2021, 26 (5) : 2499-2508. doi: 10.3934/dcdsb.2020192
References:
[1] D. Applebaum, Lévy Processes and Stochastic Calculus, Cambridge Studies in Advanced Mathematics, 116, Cambridge University Press, Cambridge, 2009.  doi: 10.1017/CBO9780511809781.  Google Scholar
[2] R. B. Ash, Probability and Measure Theory, Harcourt/Academic Press, Burlington, MA, 2000.   Google Scholar
[3]

T. Fujiwara and H. Kunita, Canonical SDE's based on semimartingales with spatial parameters. I. Stochastic flows of diffeomorphisms, Kyushu J. Math., 53 (1999), 265-300.  doi: 10.2206/kyushujm.53.265.  Google Scholar

[4]

M. Hairer and É. Pardoux, A Wong-Zakai theorem for stochastic PDEs, J. Math. Soc. Japan, 67 (2015), 1551-1604.  doi: 10.2969/jmsj/06741551.  Google Scholar

[5]

R. Hintze and I. Pavlyukevich, Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by $\alpha $-stable Lévy processes, Bernoulli, 20 (2014), 265-281.  doi: 10.3150/12-BEJ485.  Google Scholar

[6]

N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland Mathematical Library, 24, North-Holland Publishing Co., Amsterdam; Kodansha, Ltd., Tokyo, 1989.  Google Scholar

[7]

H. Kunita, Stochastic differential equations with jumps and stochastic flows of diffeomorphisms, in Itô's Stochastic Calculus and Probability Theory, Springer, Tokyo, 1996,197–211. doi: 10.1007/978-4-431-68532-6_13.  Google Scholar

[8]

H. Kunita, Stochastic differential equations based on Lévy processes and stochastic flows of diffeomorphisms, in Real and Stochastic Analysis, Trends Math., Birkhüser, Boston, MA, 2004,305–373. doi: 10.1007/978-1-4612-2054-1_6.  Google Scholar

[9]

T. G. Kurtz, Random time changes and convergence in distribution under the Meyer-Zheng conditions, Ann. Probab., 19 (1991), 1010-1034.  doi: 10.1214/aop/1176990333.  Google Scholar

[10]

T. G. Kurtz, É. Pardoux and P. Protter, Stratonovich stochastic differential equations driven by general semimartingales, Ann. Inst. H. Poincaré Probab. Statist., 31 (1995), 351-377.   Google Scholar

[11]

T. G. Kurtz and P. Protter, Weak limit theorems for stochastic integrals and stochastic differential equations, Ann. Probab., 19 (1991), 1035-1070.  doi: 10.1214/aop/1176990334.  Google Scholar

[12]

T. G. Kurtz and P. E. Protter, Weak convergence of stochastic integrals and differential equations, in Probabilistic Models for Nonlinear Partial Differential Equations, Lecture Notes in Math., 1627, Fond. CIME/CIME Found. Subser., Springer, Berlin, 1996, 1–41. doi: 10.1007/BFb0093176.  Google Scholar

[13]

S. I. Marcus, Modelling and approximation of stochastic differential equations driven by semimaringales, Stochastics, 4 (1980/81), 223-245.  doi: 10.1080/17442508108833165.  Google Scholar

[14]

I. Pavlyukevich and M. Riedle, Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces, Stoch. Anal. Appl., 33 (2015), 271-305.  doi: 10.1080/07362994.2014.988358.  Google Scholar

[15]

P. Protter, Stochastic Integration and Differential Equations, Stochastic Modelling and Applied Probability, 21, Springer-Verlag, Berlin, 2005. doi: 10.1007/978-3-662-10061-5.  Google Scholar

[16]

A. A. Puhalskii and W. Whitt, Functional large deviation principles for first-passage-time processes, Ann. Appl. Probab., 7 (1997), 362-381.  doi: 10.1214/aoap/1034625336.  Google Scholar

[17]

A. V. Skorokhod, Limit theorems for stochastic processes, Teor. Veroyatnost. i Primenen., 1 (1956), 289-319.   Google Scholar

[18]

G. Tessitore and J. Zabczyk, Wong-Zakai approximation of stochastic evolution equations, J. Evol. Equ., 6 (2006), 621-655.  doi: 10.1007/s00028-006-0280-9.  Google Scholar

[19]

W. Whitt, Stochastic-Process Limits. An Introduction to Stochastic-Process Limits and Their Application to Queues, Springer Series in Operations Research, Springer-Verlag, New York, 2002. doi: 10.1007/b97479.  Google Scholar

[20]

W. Whitt, Weak convergence of first passage time processes, J. Appl. Probability, 8 (1971), 417-422.  doi: 10.2307/3211913.  Google Scholar

[21]

E. Wong and M. Zakai, On the relation between ordinary and stochastic differential equations, Internat. J. Engrg. Sci., 3 (1965), 213-229.  doi: 10.1016/0020-7225(65)90045-5.  Google Scholar

[22]

E. Wong and M. Zakai, On the convergence of ordinary integrals to stochastic integrals, Ann. Math. Statist., 36 (1965), 1560-1564.  doi: 10.1214/aoms/1177699916.  Google Scholar

[23]

X. Zhang, Derivative formulas and gradient estimates for SDEs driven by $\alpha$-stable processes, Stochastic Process. Appl., 123 (2013), 1213-1228.  doi: 10.1016/j.spa.2012.11.012.  Google Scholar

show all references

References:
[1] D. Applebaum, Lévy Processes and Stochastic Calculus, Cambridge Studies in Advanced Mathematics, 116, Cambridge University Press, Cambridge, 2009.  doi: 10.1017/CBO9780511809781.  Google Scholar
[2] R. B. Ash, Probability and Measure Theory, Harcourt/Academic Press, Burlington, MA, 2000.   Google Scholar
[3]

T. Fujiwara and H. Kunita, Canonical SDE's based on semimartingales with spatial parameters. I. Stochastic flows of diffeomorphisms, Kyushu J. Math., 53 (1999), 265-300.  doi: 10.2206/kyushujm.53.265.  Google Scholar

[4]

M. Hairer and É. Pardoux, A Wong-Zakai theorem for stochastic PDEs, J. Math. Soc. Japan, 67 (2015), 1551-1604.  doi: 10.2969/jmsj/06741551.  Google Scholar

[5]

R. Hintze and I. Pavlyukevich, Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by $\alpha $-stable Lévy processes, Bernoulli, 20 (2014), 265-281.  doi: 10.3150/12-BEJ485.  Google Scholar

[6]

N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland Mathematical Library, 24, North-Holland Publishing Co., Amsterdam; Kodansha, Ltd., Tokyo, 1989.  Google Scholar

[7]

H. Kunita, Stochastic differential equations with jumps and stochastic flows of diffeomorphisms, in Itô's Stochastic Calculus and Probability Theory, Springer, Tokyo, 1996,197–211. doi: 10.1007/978-4-431-68532-6_13.  Google Scholar

[8]

H. Kunita, Stochastic differential equations based on Lévy processes and stochastic flows of diffeomorphisms, in Real and Stochastic Analysis, Trends Math., Birkhüser, Boston, MA, 2004,305–373. doi: 10.1007/978-1-4612-2054-1_6.  Google Scholar

[9]

T. G. Kurtz, Random time changes and convergence in distribution under the Meyer-Zheng conditions, Ann. Probab., 19 (1991), 1010-1034.  doi: 10.1214/aop/1176990333.  Google Scholar

[10]

T. G. Kurtz, É. Pardoux and P. Protter, Stratonovich stochastic differential equations driven by general semimartingales, Ann. Inst. H. Poincaré Probab. Statist., 31 (1995), 351-377.   Google Scholar

[11]

T. G. Kurtz and P. Protter, Weak limit theorems for stochastic integrals and stochastic differential equations, Ann. Probab., 19 (1991), 1035-1070.  doi: 10.1214/aop/1176990334.  Google Scholar

[12]

T. G. Kurtz and P. E. Protter, Weak convergence of stochastic integrals and differential equations, in Probabilistic Models for Nonlinear Partial Differential Equations, Lecture Notes in Math., 1627, Fond. CIME/CIME Found. Subser., Springer, Berlin, 1996, 1–41. doi: 10.1007/BFb0093176.  Google Scholar

[13]

S. I. Marcus, Modelling and approximation of stochastic differential equations driven by semimaringales, Stochastics, 4 (1980/81), 223-245.  doi: 10.1080/17442508108833165.  Google Scholar

[14]

I. Pavlyukevich and M. Riedle, Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces, Stoch. Anal. Appl., 33 (2015), 271-305.  doi: 10.1080/07362994.2014.988358.  Google Scholar

[15]

P. Protter, Stochastic Integration and Differential Equations, Stochastic Modelling and Applied Probability, 21, Springer-Verlag, Berlin, 2005. doi: 10.1007/978-3-662-10061-5.  Google Scholar

[16]

A. A. Puhalskii and W. Whitt, Functional large deviation principles for first-passage-time processes, Ann. Appl. Probab., 7 (1997), 362-381.  doi: 10.1214/aoap/1034625336.  Google Scholar

[17]

A. V. Skorokhod, Limit theorems for stochastic processes, Teor. Veroyatnost. i Primenen., 1 (1956), 289-319.   Google Scholar

[18]

G. Tessitore and J. Zabczyk, Wong-Zakai approximation of stochastic evolution equations, J. Evol. Equ., 6 (2006), 621-655.  doi: 10.1007/s00028-006-0280-9.  Google Scholar

[19]

W. Whitt, Stochastic-Process Limits. An Introduction to Stochastic-Process Limits and Their Application to Queues, Springer Series in Operations Research, Springer-Verlag, New York, 2002. doi: 10.1007/b97479.  Google Scholar

[20]

W. Whitt, Weak convergence of first passage time processes, J. Appl. Probability, 8 (1971), 417-422.  doi: 10.2307/3211913.  Google Scholar

[21]

E. Wong and M. Zakai, On the relation between ordinary and stochastic differential equations, Internat. J. Engrg. Sci., 3 (1965), 213-229.  doi: 10.1016/0020-7225(65)90045-5.  Google Scholar

[22]

E. Wong and M. Zakai, On the convergence of ordinary integrals to stochastic integrals, Ann. Math. Statist., 36 (1965), 1560-1564.  doi: 10.1214/aoms/1177699916.  Google Scholar

[23]

X. Zhang, Derivative formulas and gradient estimates for SDEs driven by $\alpha$-stable processes, Stochastic Process. Appl., 123 (2013), 1213-1228.  doi: 10.1016/j.spa.2012.11.012.  Google Scholar

[1]

Jennifer D. Key, Bernardo G. Rodrigues. Binary codes from $ m $-ary $ n $-cubes $ Q^m_n $. Advances in Mathematics of Communications, 2021, 15 (3) : 507-524. doi: 10.3934/amc.2020079
[2]

Beom-Seok Han, Kyeong-Hun Kim, Daehan Park. A weighted Sobolev space theory for the diffusion-wave equations with time-fractional derivatives on $ C^{1} $ domains. Discrete & Continuous Dynamical Systems, 2021, 41 (7) : 3415-3445. doi: 10.3934/dcds.2021002
[3]

Wensheng Yin, Jinde Cao, Guoqiang Zheng. Further results on stabilization of stochastic differential equations with delayed feedback control under $ G $-expectation framework. Discrete & Continuous Dynamical Systems - B, 2021  doi: 10.3934/dcdsb.2021072
[4]

Jong Yoon Hyun, Yoonjin Lee, Yansheng Wu. Connection of $ p $-ary $ t $-weight linear codes to Ramanujan Cayley graphs with $ t+1 $ eigenvalues. Advances in Mathematics of Communications, 2021  doi: 10.3934/amc.2020133
[5]

Xiaohu Wang, Dingshi Li, Jun Shen. Wong-Zakai approximations and attractors for stochastic wave equations driven by additive noise. Discrete & Continuous Dynamical Systems - B, 2021, 26 (5) : 2829-2855. doi: 10.3934/dcdsb.2020207
[6]

Omer Gursoy, Kamal Adli Mehr, Nail Akar. Steady-state and first passage time distributions for waiting times in the $ MAP/M/s+G $ queueing model with generally distributed patience times. Journal of Industrial & Management Optimization, 2021  doi: 10.3934/jimo.2021078
[7]

Anhui Gu. Weak pullback mean random attractors for non-autonomous $ p $-Laplacian equations. Discrete & Continuous Dynamical Systems - B, 2021, 26 (7) : 3863-3878. doi: 10.3934/dcdsb.2020266
[8]

Zhaoxia Wang, Hebai Chen. A nonsmooth van der Pol-Duffing oscillator (I): The sum of indices of equilibria is $ -1 $. Discrete & Continuous Dynamical Systems - B, 2021  doi: 10.3934/dcdsb.2021096
[9]

Zhaoxia Wang, Hebai Chen. A nonsmooth van der Pol-Duffing oscillator (II): The sum of indices of equilibria is $ 1 $. Discrete & Continuous Dynamical Systems - B, 2021  doi: 10.3934/dcdsb.2021101
[10]

Shihu Li, Wei Liu, Yingchao Xie. Large deviations for stochastic 3D Leray-$ \alpha $ model with fractional dissipation. Communications on Pure & Applied Analysis, 2019, 18 (5) : 2491-2509. doi: 10.3934/cpaa.2019113
[11]

Raffaele Folino, Ramón G. Plaza, Marta Strani. Long time dynamics of solutions to $ p $-Laplacian diffusion problems with bistable reaction terms. Discrete & Continuous Dynamical Systems, 2021, 41 (7) : 3211-3240. doi: 10.3934/dcds.2020403
[12]

Siqi Chen, Yong-Kui Chang, Yanyan Wei. Pseudo $ S $-asymptotically Bloch type periodic solutions to a damped evolution equation. Evolution Equations & Control Theory, 2021  doi: 10.3934/eect.2021017
[13]

Jiangang Qi, Bing Xie. Extremum estimates of the $ L^1 $-norm of weights for eigenvalue problems of vibrating string equations based on critical equations. Discrete & Continuous Dynamical Systems - B, 2021, 26 (7) : 3505-3516. doi: 10.3934/dcdsb.2020243
[14]

Chaoqian Li, Yajun Liu, Yaotang Li. Note on $ Z $-eigenvalue inclusion theorems for tensors. Journal of Industrial & Management Optimization, 2021, 17 (2) : 687-693. doi: 10.3934/jimo.2019129
[15]

Shixiong Wang, Longjiang Qu, Chao Li, Shaojing Fu, Hao Chen. Finding small solutions of the equation $ \mathit{{Bx-Ay = z}} $ and its applications to cryptanalysis of the RSA cryptosystem. Advances in Mathematics of Communications, 2021, 15 (3) : 441-469. doi: 10.3934/amc.2020076
[16]

Ruonan Liu, Run Xu. Hermite-Hadamard type inequalities for harmonical $ (h1,h2)- $convex interval-valued functions. Mathematical Foundations of Computing, 2021  doi: 10.3934/mfc.2021005
[17]

Dean Crnković, Nina Mostarac, Bernardo G. Rodrigues, Leo Storme. $ s $-PD-sets for codes from projective planes $ \mathrm{PG}(2,2^h) $, $ 5 \leq h\leq 9 $. Advances in Mathematics of Communications, 2021, 15 (3) : 423-440. doi: 10.3934/amc.2020075
[18]

Lei Liu, Li Wu. Multiplicity of closed characteristics on $ P $-symmetric compact convex hypersurfaces in $ \mathbb{R}^{2n} $. Discrete & Continuous Dynamical Systems, 2021, 41 (6) : 2635-3652. doi: 10.3934/dcds.2020378
[19]

Emma D'Aniello, Saber Elaydi. The structure of $ \omega $-limit sets of asymptotically non-autonomous discrete dynamical systems. Discrete & Continuous Dynamical Systems - B, 2020, 25 (3) : 903-915. doi: 10.3934/dcdsb.2019195
[20]

Denis Bonheure, Silvia Cingolani, Simone Secchi. Concentration phenomena for the Schrödinger-Poisson system in $ \mathbb{R}^2 $. Discrete & Continuous Dynamical Systems - S, 2021, 14 (5) : 1631-1648. doi: 10.3934/dcdss.2020447

2019 Impact Factor: 1.27

Tools

Metrics

  • PDF downloads (109)
  • HTML views (306)
  • Cited by (0)

Other articles
by authors

[Back to Top]

Copyright © 2021 American Institute of Mathematical Sciences