On Time Uniform Wong-Zakai Approximation Theorems
Abstract
We consider the long time behavior of Wong-Zakai approximations of stochastic differential equations. These piecewise smooth diffusion approximations are of great importance in many areas, such as those with ordinary differential equations associated to random smooth fluctuations; e.g. robust filtering problems. In many examples, the mean error estimate bounds that have been derived in the literature can grow exponentially with respect to the time horizon. We show in a simple example that indeed mean error estimates do explode exponentially in the time parameter, i.e. in that case a Wong-Zakai approximation is only useful for extremely short time intervals. Under spectral conditions, we present some quantitative time-uniform convergence theorems, i.e. time-uniform mean error bounds, yielding what seems to be the first results of this type for Wong-Zakai diffusion approximations.
Cite
@article{arxiv.2310.04967,
title = {On Time Uniform Wong-Zakai Approximation Theorems},
author = {Pierre Del Moral and Shulan Hu and Ajay Jasra and Hamza Ruzayqat and Xinyu Wang},
journal= {arXiv preprint arXiv:2310.04967},
year = {2023}
}