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On the Convergence of Stochastic Integrals Driven by Processes Converging on account of a Homogenization Property

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1.	Title	Title of document	On the Convergence of Stochastic Integrals Driven by Processes Converging on account of a Homogenization Property
2.	Creator	Author's name, affiliation, country	Antoine Lejay; INRIA Lorraine
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	stochastic differential equations, good sequence of semimartingales, conditions UT and UCV, Lévy area
3.	Subject	Subject classification	60F17, 60K40.
4.	Description	Abstract	We study the limit of functionals of stochastic processes for which an homogenization result holds. All these functionals involve stochastic integrals. Among them, we consider more particularly the Levy area and those giving the solutions of some SDEs. The main question is to know whether or not the limit of the stochastic integrals is equal to the stochastic integral of the limit of each of its terms. In fact, the answer may be negative, especially in presence of a highly oscillating first-order differential term. This provides us some counterexamples to the theory of good sequence of semimartingales.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2002-09-19
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/117
10.	Identifier	Digital Object Identifier	10.1214/EJP.v7-117
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 7
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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