Wong–Zakai approximations with convergence rate for stochastic partial differential equations. Issue 5 (20th November 2018)
- Record Type:
- Journal Article
- Title:
- Wong–Zakai approximations with convergence rate for stochastic partial differential equations. Issue 5 (20th November 2018)
- Main Title:
- Wong–Zakai approximations with convergence rate for stochastic partial differential equations
- Authors:
- Nakayama, Toshiyuki
Tappe, Stefan - Abstract:
- ABSTRACT: 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.
- Is Part Of:
- Stochastic analysis and applications. Volume 36:Issue 5(2018)
- Journal:
- Stochastic analysis and applications
- Issue:
- Volume 36:Issue 5(2018)
- Issue Display:
- Volume 36, Issue 5 (2018)
- Year:
- 2018
- Volume:
- 36
- Issue:
- 5
- Issue Sort Value:
- 2018-0036-0005-0000
- Page Start:
- 832
- Page End:
- 857
- Publication Date:
- 2018-11-20
- Subjects:
- Stochastic partial differential equation -- Wong–Zakai approximation -- convergence rate -- graph norm
60H15 -- 60G17
Stochastic analysis -- Periodicals
519.2205 - Journal URLs:
- http://www.tandfonline.com/toc/lsaa20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/07362994.2018.1471402 ↗
- Languages:
- English
- ISSNs:
- 0736-2994
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8465.250000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 14827.xml