Fixing a Minor Mistake in the Theory of Stochastic Integration and Differential Equations

Fuente: arXiv
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Hauptverfasser: Rickelhoff, Sebastian, Schnurr, Alexander
Format: Preprint
Veröffentlicht: 2024
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author Rickelhoff, Sebastian
Schnurr, Alexander
author_facet Rickelhoff, Sebastian
Schnurr, Alexander
contents When considering stochastic integration and the theory of stochastic differential equations, P. Protter's textbook \cite{protter} undoubtedly is a main piece of standard literature. Not only is it well-written, but it also contains various profound results regarding these fields. Unfortunately, Theorem 12 of Chapter V, which presents an equivalence to uniform convergence on compacts in probability, is found to be incorrect. Given that numerous important results rely on this theorem, this paper aims to present a corrected version of it.
format Preprint
id arxiv_https___arxiv_org_abs_2403_12613
institution arXiv
publishDate 2024
record_format arxiv
spellingShingle Fixing a Minor Mistake in the Theory of Stochastic Integration and Differential Equations
Rickelhoff, Sebastian
Schnurr, Alexander
Probability
60G07, 60H10, 60J76
When considering stochastic integration and the theory of stochastic differential equations, P. Protter's textbook \cite{protter} undoubtedly is a main piece of standard literature. Not only is it well-written, but it also contains various profound results regarding these fields. Unfortunately, Theorem 12 of Chapter V, which presents an equivalence to uniform convergence on compacts in probability, is found to be incorrect. Given that numerous important results rely on this theorem, this paper aims to present a corrected version of it.
title Fixing a Minor Mistake in the Theory of Stochastic Integration and Differential Equations
topic Probability
60G07, 60H10, 60J76
url https://arxiv.org/abs/2403.12613