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

Abstract

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.

25 pages

References in corpus (3)

• Non-standard approximations of the Ito-map
• An alternative approach on the existence of affine realizations for HJM term structure models
• Cubature on Wiener space in infinite dimension

Cited by in corpus (1)

• L2 convergence of smooth approximations of Stochastic Differential Equations with unbounded coefficients