Wong-Zakai type convergence in infinite dimensions

Arnab Ganguly

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arXiv · 1111.6114

Wong-Zakai type convergence in infinite dimensions

Arnab Ganguly

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Abstract

The paper deals with convergence of solutions of a class of stochastic differential equations driven by infinite-dimensional semimartingales. The infinite-dimensional semimartingales considered in the paper are Hilbert-space valued. The theorems presented generalize the convergence result obtained by Wong and Zakai for stochastic differential equations driven by linear interpolations of a finite-dimensional Brownian motion. In particular, a general form of the correction factor is derived. Examples are given illustrating the use of the theorems to obtain other kinds of approximation results.

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BibTeX RIS

Arnab Ganguly. 2011-11-25. Wong-Zakai type convergence in infinite dimensions. https://arxiv.org/abs/1111.6114

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