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

Gyongy I; Shmatkov A

Applied Mathematics and Optimization, Vol.54, No.3, 315-341, 2006

DOI10.1007/s00245-006-0873-2 Export Citation

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

We investigate the rate of convergence of the Wong-Zakai approximations for second-order stochastic PDEs of parabolic type driven by a multi-dimensional Wiener process W.

Keywords:cauchy problem;parabolic partial differential equations;Zakai equation;Wong Zakai approximation