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arXiv · 1707.08440

Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations

Bilel Kacem Ben Ammou·Alberto Lanconelli
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Abstract

We consider a class of stochastic differential equations driven by a one dimensional Brownian motion and we investigate the rate of convergence for Wong-Zakai-type approximated solutions. We first consider the Stratonovich case, obtained through the point-wise multiplication between the diffusion coefficient and a smoothed version of the noise; then, we consider Itô equations where the diffusion coefficient is Wick-multiplied by the regularized noise. We discover that in both cases the speed of convergence to the exact solution coincides with the speed of convergence of the smoothed noise towards the original Brownian motion. We also prove, in analogy with a well known property for exact solutions, that the solutions of approximated Itô equations solve approximated Stratonovich equations with a certain correction term in the drift.

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Bilel Kacem Ben Ammou, Alberto Lanconelli. 2018-06-05. Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations. https://doi.org/10.1007/s10959-018-0837-x

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