Rate of Convergence of Wong-Zakai Approximations for Stochastic Partial Differential Equations

被引：0

作者：

Gyoengy, Istvan ^{[1
]}

Stinga, Pablo Raul ^{[2
]}

机构：

[1] Univ Edinburgh, Sch Math, Kings Bldg, Edinburgh EH9 3JZ, Midlothian, Scotland

[2] Univ Texas Austin, Dept Math, Austin, TX 78712 USA

来源：

SEMINAR ON STOCHASTIC ANALYSIS, RANDOM FIELDS AND APPLICATIONS VII | 2013年 / 67卷

关键词：

Wong-Zakai approximation; nonlinear filtering; NOISE; SPDES;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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..

引用

页码：95 / 130

页数：36

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