Work

A Wong-Zakai theorem for stochastic PDEs

Year: 2015

Type: article

Abstract: We prove a version of the Wong-Zakai theorem for one-dimensional parabolic nonlinear stochastic PDEs driven by space-time white noise. As a corollary, we obtain a detailed local description of solutions.

Source: Journal of the Mathematical Society of Japan

DOI: 10.2969/jmsj/06741551

Authors: Martin HAIRER, Étienne PARDOUX

Institutions: University of Warwick, Centre National de la Recherche Scientifique, Aix-Marseille Université, Institut de Mathématiques de Marseille, Centrale Méditerranée

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: Leverhulme Trust

OpenAlex ID: W1590126554

FWCI: 38.29

Cites: 19

Cited by: 179

Related to: 10