A Wong-Zakai type approximation for two-parameter processes

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dc.contributor.authorLee, Kyu Seokko
dc.contributor.authorKim, Yoon Taeko
dc.contributor.authorJeon, Jong Wooko
dc.date.accessioned2013-03-06T04:35:45Z-
dc.date.available2013-03-06T04:35:45Z-
dc.date.created2012-06-08-
dc.date.created2012-06-08-
dc.date.created2012-06-08-
dc.date.issued2002-05-
dc.identifier.citationSTOCHASTIC ANALYSIS AND APPLICATIONS, v.20, no.3, pp.615 - 642-
dc.identifier.issn0736-2994-
dc.identifier.urihttp://hdl.handle.net/10203/85811-
dc.description.abstractWe present an extension of the Wong-Zakai approximation theorem for a stochastic differential equation on the plane driven by a two-parameter Wiener process. For an approximation of the two-parameter Wiener process, we use a two-parameter version of the one-parameter piecewise linear approximation, By our approximation to the two-parameter Wiener process we show that the solution of an ordinary differential equation converges, in the uniform L-2-sense, to that of a stochastic differential equation obtained by using Stratonovich integral.-
dc.languageEnglish-
dc.publisherMARCEL DEKKER INC-
dc.titleA Wong-Zakai type approximation for two-parameter processes-
dc.typeArticle-
dc.identifier.wosid000176940700006-
dc.identifier.scopusid2-s2.0-0036020755-
dc.type.rimsART-
dc.citation.volume20-
dc.citation.issue3-
dc.citation.beginningpage615-
dc.citation.endingpage642-
dc.citation.publicationnameSTOCHASTIC ANALYSIS AND APPLICATIONS-
dc.identifier.doi10.1081/SAP-120004117-
dc.contributor.localauthorLee, Kyu Seok-
dc.contributor.nonIdAuthorKim, Yoon Tae-
dc.contributor.nonIdAuthorJeon, Jong Woo-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordPlusDIFFUSION-APPROXIMATION-
dc.subject.keywordPlusDIFFERENTIAL-EQUATIONS-
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