Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2002.05a
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- Pages.55-60
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- 2002
A Wong-Zakai Type Approximation for the Multiple Ito-Wiener Integral
- Lee, Kyu-Seok (Department of Statistics, Seoul National University) ;
- Kim, Yoon-Tae (Department of Statistics, Hallym University) ;
- Jeon, Jong-Woo (Department of Statistics, Seoul National University)
- Published : 2002.05.24
Abstract
We present an extension of the Wong-Zakai type approximation theorem for a multiple stochastic integral. Using a piecewise linear approximation
Keywords
- Multiple Ito-Wiener integral;
- Multiple Stratonovich integral;
- Hu-Meyer's formula;
- Wong-Zakai theorem