Strong uniform Wong–Zakai approximations of Lévy-driven Marcus SDEs
| dc.contributor.author | Pavlyukevich I. | |
| dc.contributor.author | Thipyarat S. | |
| dc.contributor.correspondence | Pavlyukevich I. | |
| dc.contributor.other | Mahidol University | |
| dc.date.accessioned | 2026-06-05T18:15:35Z | |
| dc.date.available | 2026-06-05T18:15:35Z | |
| dc.date.issued | 2026-01-01 | |
| dc.description.abstract | For the solution (Formula presented.) of a Lévy-driven (Formula presented.) -dimensional Marcus (canonical) stochastic differential equation, we prove that the Wong–Zakai approximation scheme (Formula presented.) converges strongly with order (Formula presented.). More precisely, for any (Formula presented.) there exists a constant (Formula presented.) such that (Formula presented.) for all (Formula presented.). We also establish the rate of locally uniform strong convergence: for every (Formula presented.) and any (Formula presented.) there exists a constant (Formula presented.) such that (Formula presented.). | |
| dc.identifier.citation | Stochastic Analysis and Applications (2026) | |
| dc.identifier.doi | 10.1080/07362994.2026.2669740 | |
| dc.identifier.eissn | 15329356 | |
| dc.identifier.issn | 07362994 | |
| dc.identifier.scopus | 2-s2.0-105039964633 | |
| dc.identifier.uri | https://repository.li.mahidol.ac.th/handle/123456789/117085 | |
| dc.rights.holder | SCOPUS | |
| dc.subject | Mathematics | |
| dc.subject | Decision Sciences | |
| dc.title | Strong uniform Wong–Zakai approximations of Lévy-driven Marcus SDEs | |
| dc.type | Article | |
| mu.datasource.scopus | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=105039964633&origin=inward | |
| oaire.citation.title | Stochastic Analysis and Applications | |
| oairecerif.author.affiliation | Friedrich-Schiller-Universität Jena | |
| oairecerif.author.affiliation | Mahidol University |