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arXiv:1907.06202 [math.PR]AbstractReferencesReviewsResources

Wong-Zakai approximations with convergence rate for stochastic partial differential equations

Toshiyuki Nakayama, Stefan Tappe

Published 2019-07-14Version 1

The goal of this paper is to prove a convergence rate for Wong-Zakai approximations of semilinear stochastic partial differential equations driven by a finite dimensional Brownian motion. Several examples, including the HJMM equation from mathematical finance, illustrate our result.

Comments: 25 pages
Journal: Stochastic Analysis and Applications 36(5):832-857, 2018
Categories: math.PR, cs.NA, math.NA
Subjects: 60H15, 60G17
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