Sooppawat Thipyarat - Uniform approximation for a canonical stochastic differential equation

In the first part of this talk, we study a canonical stochastic differential equation (SDE) driven by pure jump Lévy process and show the relation between this equation and the classic Itô one. In the second part, we introduce the numerical solution of this SDE by modifying the Wong-Zakai approximation. Under some assumptions, we establish the uniform convergence of this numerical solution.