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

Xianming Liu; Guangyue Han

doi:10.3934/dcdsb.2020192

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2021, Volume 26, Issue 5: 2499-2508. Doi: 10.3934/dcdsb.2020192

This issue Previous Article Abstract similarity, fractals and chaos Next Article The nonstationary flows of micropolar fluids with thermal convection: An iterative approach

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
^* Corresponding author: Xianming Liu

Received: July 31, 2019

Revised: February 29, 2020

Early access: June 2020

Published: May 2021

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

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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 $ 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.

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Mathematics Subject Classification: Primary: 60H10; Secondary: 34F05.

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References

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