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arXiv · 2304.10062

Wong--Zakai approximation of regime-switching SDEs via rough path theory

Jasper Barr·Giang T. Nguyen·Oscar Peralta
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Abstract

This paper investigates the convergence of Wong--Zakai approximations to regime-switching stochastic differential equations, generated by a collection of finite-variation approximations to Brownian motion. We extend the results of Nguyen and Peralta (2021) to $\mathbb{R}^d$-valued RSSDE by utilising rough path theoretic tools, acquiring the same modification of rate.

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Jasper Barr, Giang T. Nguyen, Oscar Peralta. 2023-04-20. Wong--Zakai approximation of regime-switching SDEs via rough path theory. https://arxiv.org/abs/2304.10062

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