Wong-Zakai type convergence in infinite dimensions
Probability
2011-11-29 v1
Abstract
The paper deals with convergence of solutions of a class of stochastic differential equations driven by infinite-dimensional semimartingales. The infinite-dimensional semimartingales considered in the paper are Hilbert-space valued. The theorems presented generalize the convergence result obtained by Wong and Zakai for stochastic differential equations driven by linear interpolations of a finite-dimensional Brownian motion. In particular, a general form of the correction factor is derived. Examples are given illustrating the use of the theorems to obtain other kinds of approximation results.
Keywords
Cite
@article{arxiv.1111.6114,
title = {Wong-Zakai type convergence in infinite dimensions},
author = {Arnab Ganguly},
journal= {arXiv preprint arXiv:1111.6114},
year = {2011}
}
Comments
36 pages