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

Istvan Gyongy, Pablo Raul Stinga

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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.
Original languageEnglish
Title of host publicationSeminar on Stochastic Analysis, Random Fields and Applications VII
Subtitle of host publicationCentro Stefano Franscini, Ascona, May 2011
PublisherSpringer-Verlag GmbH
Pages95-130
ISBN (Electronic)978-3-0348-0545-2
ISBN (Print)978-3-0348-0544-5
DOIs
Publication statusPublished - 2013

Publication series

NameProgress in Probability
Volume67

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