A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale.

We examine a Wong-Zakai type approximation of a family of stochastic differential equations driven by a general càdlàg semimartingale. For such an approximation, compared with the pointwise convergence result by Kurtz, Pardoux and Protter [10,Theorem 6.5], we establish stronger convergence results under the Skorokhod -topology, which, among other possible applications, implies the convergence of the first passage time of the solution to the approximating stochastic differential equation. [ABSTRACT FROM AUTHOR]