The Stratonovich heat equation: a continuity result and weak approximations (Q388833): Difference between revisions
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Latest revision as of 10:38, 30 July 2024
scientific article
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English | The Stratonovich heat equation: a continuity result and weak approximations |
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The Stratonovich heat equation: a continuity result and weak approximations (English)
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17 January 2014
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The authors study the stochastic heat equation on the interval (0,1) driven by a trace-class Wiener process with multiplicative noise in Stratonovich form. They show existence and uniqueness of a mild solution and investigate convergence properties of various approximation schemes to the solution. The reader interested in the topic of this paper may wish to also look at a more recent paper by \textit{M. Hairer} and \textit{É. Pardoux} [``A Wong-Zakai theorem for stochastic PDEs'', Preprint, \url{arXiv:1409.3138}] which treats essentially the same question for the corresponding Itō equation driven by space-time (and not just trace-class) noise using Hairer's new theory of regularity structures.
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stochastic heat equation
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Stratonovich integral
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convolutional rough paths theory
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