Wong-Zakai approximations with convergence rate for stochastic partial differential equations
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Preprint |
| Publié: |
2019
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866917094085361664 |
|---|---|
| author | Nakayama, Toshiyuki Tappe, Stefan |
| author_facet | Nakayama, Toshiyuki Tappe, Stefan |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1907_06202 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Wong-Zakai approximations with convergence rate for stochastic partial differential equations Nakayama, Toshiyuki Tappe, Stefan Probability Numerical Analysis 60H15, 60G17 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. |
| title | Wong-Zakai approximations with convergence rate for stochastic partial differential equations |
| topic | Probability Numerical Analysis 60H15, 60G17 |
| url | https://arxiv.org/abs/1907.06202 |