Semimartingale representation and the Wong-Zakai problem
Abstract
Some useful representations for mappings of semimartingales are provided; one is for solutions of stochastic differential equations and the other is for twice continuously Frechet differentiable functionals. These representations give us a tool in studying robustness of stochastic models. Recent work by Kurtz and Protter explains most of the Wong-Zakai type of limit theorems. We refine some of the results given by Kurtz and Protter, namely one of the goodness theorems and the Wong-Zakai theorem. We also provide a new treatment for stochastic differential equations with functional coefficients.
Degree
Ph.D.
Advisors
Protter, Purdue University.
Subject Area
Statistics
Off-Campus Purdue Users:
To access this dissertation, please log in to our
proxy server.