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Wong-Zakai type convergence in infinite dimensions


 
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1. Title Title of document Wong-Zakai type convergence in infinite dimensions
 
2. Creator Author's name, affiliation, country Arnab Ganguly; Brown University; United States
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Weak convergence; stochastic differential equation; Wong-Zakai, uniform tightness; infinite-dimensional semimartingales; Banach space-valued semimartingales;H^#-semimartingales
 
3. Subject Subject classification 60H05; 60H10; 60H20; 60F
 
4. Description Abstract The paper deals with convergence of solutions of a class of stochastic differential equations driven by infinite-dimensional semimartingales. The infinite dimensional semimartingales considered in the paper are Hilbert-space valued. The theorems presented generalize the convergence result obtained by Wong and Zakai for stochastic differential equations driven by linear interpolations of a finite-dimensional Brownian motion. In particular, a general form of the correction factor is derived. Examples are given illustrating the use of the theorems to obtain other kinds of approximation results.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF Grant DMS 08-05793
 
7. Date (YYYY-MM-DD) 2013-03-05
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2650
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-2650
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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