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Weak convergence of stochastic integrals and differential equations · Study

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ChapterWeak convergence of stochastic integrals and differential equations

Thomas G. Kurtz1996

Chapter1996

Weak convergence of stochastic integrals and differential equations

Thomas G. Kurtz · Philip E. Protter

89 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Probability and Statistical Research Nonlinear Differential Equations Analysis

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References

2005Stochastic Integration and Differential Equations 1987Limit Theorems for Stochastic Processes 1990Stochastic Integration and Differential Equations 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod 1992From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 1991Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's

Cited by

2014Stochastic differential equations for sticky Brownian motion 2004The Euler scheme for Lévy driven stochastic differential equations: limit theorems 2002On the robustness of backward stochastic differential equations 2007Malliavin Greeks without Malliavin calculus 2008Macroscopic limits for stochastic partial differential equations of McKean–Vlasov type 2018Differential equations driven by rough paths with jumps

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1996Weak convergence of stochastic integrals and differential equations II: Infinite dimensional casechapter · 5 shared references 2000Explicit form and robustness of martingale representationsarticle · 5 shared references 2006A Limit Theorem for Financial Markets with Inert Investorsarticle · 5 shared references 1998Asymptotic error distributions for the Euler method for stochastic differential equationsarticle · 4 shared references 1992From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1article · 4 shared references 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security marketsarticle · 3 shared references

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Year1996

Typechapter

Published1996-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations89

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0093176

openalex_workW1578406144

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2004

The Euler scheme for Lévy driven stochastic differential equations : limit theorems

2005The multi-dimensional super-replication problem under gamma constraints