{
  "id": "2304.10062",
  "version": "v1",
  "published": "2023-04-20T03:02:43.000Z",
  "updated": "2023-04-20T03:02:43.000Z",
  "title": "Wong--Zakai approximation of regime-switching SDEs via rough path theory",
  "authors": [
    "Jasper Barr",
    "Giang T. Nguyen",
    "Oscar Peralta"
  ],
  "comment": "22 pages, 1 figure",
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2023-04-20T03:02:43.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60L90",
      "60F15"
    ],
    "keywords": [
      "rough path theory",
      "wong-zakai approximation",
      "regime-switching sdes",
      "utilising rough path theoretic tools",
      "regime-switching stochastic differential equations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 22,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}