Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations

I. Gyöngy; P. R. Stinga

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arXiv · 1209.2989

Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations

I. Gyöngy·P. R. Stinga

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Abstract

In this paper we show that the rate of convergence of Wong-Zakai approximations for stochastic partial differential equations driven by Wiener processes is essentially the same as the rate of convergence of the driving processes W_n approximating the Wiener process, provided the area processes of W_n also converge to those of W with that rate. We consider non-degenerate and also degenerate stochastic PDEs with time dependent coefficients.

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BibTeX RIS

I. Gyöngy, P. R. Stinga. 2012-09-13. Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations. https://arxiv.org/abs/1209.2989

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