Appl Math Optim 54:341–341 (2006) DOI: 10.1007/s00245-006-1001-z 2006 Springer Science+Business Media, Inc. Rate of Convergence of Wong–Zakai Approximations for Stochastic Partial Differential Equations Istvan ´ Gyongy ¨ and Anton Shmatkov School of Mathematics, University of Edinburgh, King’s Buildings, Edinburgh, EH9 3JZ, Scotland email@example.com; firstname.lastname@example.org Abstract. We investigate the rate of convergence of the Wong–Zakai approx- imations for second-order stochastic PDEs of parabolic type driven by a multi- dimensional Wiener process W . Key Words. Cauchy problem, Parabolic partial differential equations, Zakai equa- tion, Wong–Zakai approximation. AMS Classiﬁcation. 60H15, 60H35.
Applied Mathematics and Optimization – Springer Journals
Published: Nov 1, 2006
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