Wong-Zakai approximations for stochastic differential equations (Q1914901): Difference between revisions

The author has been working for an extensive period on Wong-Zakai approximations for finite- and infinite-dimensional stochastic differential equations. The paper is a survey paper and provides an excellent overview over this field. It includes the approximation of stochastic delay equations, stochastic evolution equations, the Navier-Stokes equation and nonlinear stochastic equations in abstract spaces.

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reviewed by

Eckhard Platen

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Mathematics Subject Classification ID

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Wong-Zakai approximations

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survey paper

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approximation of stochastic delay equations

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Navier-Stokes equation

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MaRDI profile type

MaRDI publication profile

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cites work

An approach to Ito linear equations in Hilbert spaces by approximation of white noise with coloured noise

0 references

Q4404205

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approximation for the solutions of stochastic differential equations. iii. jointly weak convergence

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Spline approximations for functional differential equations

0 references

On the solution of stochastic ordinary differential equations via small delays

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Q4279404

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Equations aux dérivées partielles stochastiques non linéaires. I

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Equations stochastiques du type Navier-Stokes

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Q5180741

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A convergence result for stochastic partial differential equations

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Q5549343

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Q4846993

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Stochastic Navier-Stokes equations

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Robustness analysis for stochastic approximation algorithms

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Q3051174

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Smoothing properties of transition semigroups in hilbert spaces

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ON THE RELATION BETWEEN THE STRATONOVICH AND ITO INTEGRALS WITH INTEGRANDS OF DELAYED ARGUMENT

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Q4131410

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A Wong-Zakai-type theorem for certain discontinuous semimartingales

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Q4023645

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Rate of convergence of an approximate solution of stochastic differential equations

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Numerical integration of stochastic differential equations.

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On the approximation of stochastic differential equations

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On the approximation of stochastic partial differential equations i

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The approximation of stochastic partial differential equations and applications in nonlinear filtering

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Q4733814

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Theory of functional differential equations. 2nd ed

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Q4692933

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Q3814629

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A class of approximations of Brownian motion

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Q3959169

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On stationary solutions of a stochastic differential equation

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Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)

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Discretization of the Wiener-process in difference-methods for stochastic differential equations

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Approximation of nonlinear evolution systems

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On the successive approximation of solutions of stochastic differential equations

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Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

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Q4004325

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On Wong-Zakai approximation of stochastic differential equations

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Stratonovich stochastic differential equations driven by general semimartingales

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Q3976728

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Weak limit theorems for stochastic integrals and stochastic differential equations

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Q3973613

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Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides

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Probability methods for approximations in stochastic control and for elliptic equations

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Q2703816

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Stochastic approximation algorithms for parallel and distributed processing

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ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES

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On polygonal approximation of brownian motion in stochastic integral

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Symmetric stochastic integrals and their approximations

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Gaussian approximations of Brownian motion in a stochastic integral

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Approximate solutions for a class of delay stochastic differential equations

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Modeling and approximation of stochastic differential equations driven by semimartingales†

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Continuous Markov processes and stochastic equations

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An asymptotically efficient difference formula for solving stochastic differential equations

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An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst

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Q4066324

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Stochastic partial differential equations and filtering of diffusion processes

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Discretization and simulation of stochastic differential equations

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Semigroups of linear operators and applications to partial differential equations

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Approximations for stochastic differential equations with reflecting convex boundaries

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Q3787220

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Q3917262

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Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations

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Q3928751

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Approximations of solutions of stochastic differential equations driven by semimartingales

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Stochastic differential equations with jump reflection at the boundary

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On approximation of solutions of multidimensional SDE's with reflecting boundary conditions

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Stability of strong solutions of stochastic differential equations

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Q3998788

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A New Representation for Stochastic Integrals and Equations

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On the gap between deterministic and stochastic ordinary differential equations

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Resolution trajectorielle et analyse numerique des equations differentielles stochastiques

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Second-order discretization schemes of stochastic differential systems for the computation of the invariant law

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Q3207428

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Approximation of semi-groups of operators

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On stochastic evolution equations driven by continuous semimartingales

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Q3689967

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Q3776327

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Some properties of mild solutions of delay stochastic evolution equations

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Q4272996

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An approximation theorem of wong-zakai type for nonlinear stochastic partial differential equations

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An approximation theorem of Wong-Zakai type for stochastic Navier-Stokes equations

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An extension of the Wong-Zakai theorem for stochastic evolution equations in Hilbert spaces

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Q5286955

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Q4693218

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On the Evolution of the State of Linear Differential Delay Equations in M2: Properties of the Generator

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Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations

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Q5657423

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On the Convergence of Ordinary Integrals to Stochastic Integrals

0 references

Riemann-Stieltjes approximations of stochastic integrals

0 references

On Decomposition of Generators

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1914901

@@ Property / cites work @@
+An approach to Ito linear equations in Hilbert spaces by approximation of white noise with coloured noise
+Normal rank
@@ Property / cites work @@
+Q4404205
@@ Property / cites work: Q4404205 / rank @@
+Normal rank
@@ Property / cites work @@
+approximation for the solutions of stochastic differential equations. iii. jointly weak convergence
+Normal rank
@@ Property / cites work @@
+Spline approximations for functional differential equations
+Normal rank
@@ Property / cites work @@
+On the solution of stochastic ordinary differential equations via small delays
+Normal rank
@@ Property / cites work @@
+Q4279404
@@ Property / cites work: Q4279404 / rank @@
+Normal rank
@@ Property / cites work @@
+Equations aux dérivées partielles stochastiques non linéaires. I
+Normal rank
@@ Property / cites work @@
+Equations stochastiques du type Navier-Stokes
@@ Property / cites work: Equations stochastiques du type Navier-Stokes / rank @@
+Normal rank
@@ Property / cites work @@
+Q5180741
@@ Property / cites work: Q5180741 / rank @@
+Normal rank
@@ Property / cites work @@
+A convergence result for stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Q5549343
@@ Property / cites work: Q5549343 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4846993
@@ Property / cites work: Q4846993 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Navier-Stokes equations
@@ Property / cites work: Stochastic Navier-Stokes equations / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness analysis for stochastic approximation algorithms
+Normal rank
@@ Property / cites work @@
+Q3051174
@@ Property / cites work: Q3051174 / rank @@
+Normal rank
@@ Property / cites work @@
+Smoothing properties of transition semigroups in hilbert spaces
+Normal rank
@@ Property / cites work @@
+ON THE RELATION BETWEEN THE STRATONOVICH AND ITO INTEGRALS WITH INTEGRANDS OF DELAYED ARGUMENT
+Normal rank
@@ Property / cites work @@
+Q4131410
@@ Property / cites work: Q4131410 / rank @@
+Normal rank
@@ Property / cites work @@
+A Wong-Zakai-type theorem for certain discontinuous semimartingales
+Normal rank
@@ Property / cites work @@
+Q4023645
@@ Property / cites work: Q4023645 / rank @@
+Normal rank
@@ Property / cites work @@
+Rate of convergence of an approximate solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical integration of stochastic differential equations.
+Normal rank
@@ Property / cites work @@
+On the approximation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On the approximation of stochastic partial differential equations i
+Normal rank
@@ Property / cites work @@
+The approximation of stochastic partial differential equations and applications in nonlinear filtering
+Normal rank
@@ Property / cites work @@
+Q4733814
@@ Property / cites work: Q4733814 / rank @@
+Normal rank
@@ Property / cites work @@
+Theory of functional differential equations. 2nd ed
+Normal rank
@@ Property / cites work @@
+Q4692933
@@ Property / cites work: Q4692933 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3814629
@@ Property / cites work: Q3814629 / rank @@
+Normal rank
@@ Property / cites work @@
+A class of approximations of Brownian motion
@@ Property / cites work: A class of approximations of Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q3959169
@@ Property / cites work: Q3959169 / rank @@
+Normal rank
@@ Property / cites work @@
+On stationary solutions of a stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
+Normal rank
@@ Property / cites work @@
+Discretization of the Wiener-process in difference-methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Approximation of nonlinear evolution systems
@@ Property / cites work: Approximation of nonlinear evolution systems / rank @@
+Normal rank
@@ Property / cites work @@
+On the successive approximation of solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+On Wong-Zakai approximation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stratonovich stochastic differential equations driven by general semimartingales
+Normal rank
@@ Property / cites work @@
+Q3976728
@@ Property / cites work: Q3976728 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak limit theorems for stochastic integrals and stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q3973613
@@ Property / cites work: Q3973613 / rank @@
+Normal rank
@@ Property / cites work @@
+Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides
+Normal rank
@@ Property / cites work @@
+Probability methods for approximations in stochastic control and for elliptic equations
+Normal rank
@@ Property / cites work @@
+Q2703816
@@ Property / cites work: Q2703816 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic approximation algorithms for parallel and distributed processing
+Normal rank
@@ Property / cites work @@
+ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
+Normal rank
@@ Property / cites work @@
+On polygonal approximation of brownian motion in stochastic integral
+Normal rank
@@ Property / cites work @@
+Symmetric stochastic integrals and their approximations
+Normal rank
@@ Property / cites work @@
+Gaussian approximations of Brownian motion in a stochastic integral
+Normal rank
@@ Property / cites work @@
+Approximate solutions for a class of delay stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Modeling and approximation of stochastic differential equations driven by semimartingales<sup>†</sup>
+Normal rank
@@ Property / cites work @@
+Continuous Markov processes and stochastic equations
+Normal rank
@@ Property / cites work @@
+Q4043889
@@ Property / cites work: Q4043889 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4769730
@@ Property / cites work: Q4769730 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4311825
@@ Property / cites work: Q4311825 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3707054
@@ Property / cites work: Q3707054 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4163495
@@ Property / cites work: Q4163495 / rank @@
+Normal rank
@@ Property / cites work @@
+An asymptotically efficient difference formula for solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst
+Normal rank
@@ Property / cites work @@
+Q4066324
@@ Property / cites work: Q4066324 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic partial differential equations and filtering of diffusion processes
+Normal rank
@@ Property / cites work @@
+Discretization and simulation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Semigroups of linear operators and applications to partial differential equations
+Normal rank
@@ Property / cites work @@
+Approximations for stochastic differential equations with reflecting convex boundaries
+Normal rank
@@ Property / cites work @@
+Q3787220
@@ Property / cites work: Q3787220 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3917262
@@ Property / cites work: Q3917262 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations
+Normal rank
@@ Property / cites work @@
+Q3928751
@@ Property / cites work: Q3928751 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximations of solutions of stochastic differential equations driven by semimartingales
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with jump reflection at the boundary
+Normal rank
@@ Property / cites work @@
+On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
+Normal rank
@@ Property / cites work @@
+Stability of strong solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q3998788
@@ Property / cites work: Q3998788 / rank @@
+Normal rank
@@ Property / cites work @@
+A New Representation for Stochastic Integrals and Equations
+Normal rank
@@ Property / cites work @@
+On the gap between deterministic and stochastic ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
+Normal rank
@@ Property / cites work @@
+Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
+Normal rank
@@ Property / cites work @@
+Q3207428
@@ Property / cites work: Q3207428 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of semi-groups of operators
@@ Property / cites work: Approximation of semi-groups of operators / rank @@
+Normal rank
@@ Property / cites work @@
+On stochastic evolution equations driven by continuous semimartingales
+Normal rank
@@ Property / cites work @@
+Q3689967
@@ Property / cites work: Q3689967 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3776327
@@ Property / cites work: Q3776327 / rank @@
+Normal rank
@@ Property / cites work @@
+Some properties of mild solutions of delay stochastic evolution equations
+Normal rank
@@ Property / cites work @@
+Q4272996
@@ Property / cites work: Q4272996 / rank @@
+Normal rank
@@ Property / cites work @@
+An approximation theorem of wong-zakai type for nonlinear stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+An approximation theorem of Wong-Zakai type for stochastic Navier-Stokes equations
+Normal rank
@@ Property / cites work @@
+An extension of the Wong-Zakai theorem for stochastic evolution equations in Hilbert spaces
+Normal rank
@@ Property / cites work @@
+Q5286955
@@ Property / cites work: Q5286955 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4693218
@@ Property / cites work: Q4693218 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Evolution of the State of Linear Differential Delay Equations in <i>M</i><sup>2</sup>: Properties of the Generator
+Normal rank
@@ Property / cites work @@
+Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
+Normal rank
@@ Property / cites work @@
+Q5657423
@@ Property / cites work: Q5657423 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Convergence of Ordinary Integrals to Stochastic Integrals
+Normal rank
@@ Property / cites work @@
+Riemann-Stieltjes approximations of stochastic integrals
+Normal rank
@@ Property / cites work @@
+On Decomposition of Generators
@@ Property / cites work: On Decomposition of Generators / rank @@
+Normal rank