Abstract
Solutions of stochastic differential equations having differentials of bounded variation processes on the right-hand side can be defined by means of Lebesgue-Stieltjes integrals or by continuous extension of Stieltjes integrals. Both solutions are compared here and formulas that extend the Wong-Zakai theorem are obtained.
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Ferreyra, G. A Wong-Zakai-type theorem for certain discontinuous semimartingales. J Theor Probab 2, 313–323 (1989). https://doi.org/10.1007/BF01054019
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DOI: https://doi.org/10.1007/BF01054019