Wong-Zakai approximations with convergence rate for stochastic partial differential equations
Probability
2025-11-21 v1 Numerical Analysis
Numerical Analysis
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.
Keywords
Cite
@article{arxiv.1907.06202,
title = {Wong-Zakai approximations with convergence rate for stochastic partial differential equations},
author = {Toshiyuki Nakayama and Stefan Tappe},
journal= {arXiv preprint arXiv:1907.06202},
year = {2025}
}
Comments
25 pages