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arxiv: 1209.2989 · v1 · pith:64AOXNXNnew · submitted 2012-09-13 · 🧮 math.PR · cs.NA· math.NA

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

classification 🧮 math.PR cs.NAmath.NA
keywords rateconvergenceprocessesstochasticapproximationsdifferentialequationspartial
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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.

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