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

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.

arXiv comment27 pages. To appear in the Proceedings of the Seventh Seminar on Stochastic Analysis, Random Fields and Applications, Ascona 2011