PRSep 13, 2012
Rate of convergence of Wong-Zakai approximations for stochastic partial differential equationsI. Gyöngy, P. R. Stinga
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.