Articlebronze2015

A Wong-Zakai theorem for stochastic PDEs

179 citations0/0 files storedJournal of the Mathematical Society of Japan

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Advanced Mathematical Physics Problems

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.

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References

2006An introduction to stochastic partial differential equations 1965On the relation between ordinary and stochastic differential equations 1965On the Convergence of Ordinary Integrals to Stochastic Integrals 2014A Course on Rough Paths 2007Differential Equations Driven by Rough Paths

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