Wong-zakai approximation and support theorem for semilinear stochastic partial differential equations with finite dimensional noise in the whole space

DOI10.1007/S40072-020-00168-5MaRDI QIDQ2045407zbMATH OpenOpenAlexFDO

Authors Timur Yastrzhembskiy

Publication date 12 August 2021

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.07584

zbMATH Keywords

SPDEWong-Zakai approximationKrylov's \(L_p\)-theory of SPDEsStroock-Varadhan's support theorem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Initial value problems for second-order parabolic equations (35K15) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: In this paper we consider the following stochastic partial differential equation (SPDE) in the whole space: $du(t,x)=[a^{ij}(t,x)D_{ij}u(t,x)+f(u,t,x)],dt+su{m}_{k=1}^m{g}^k(u(t,x))d{w}^k(t).$ We prove the convergence of a Wong-Zakai type approximation scheme of the above equation in the space $C^{heta}([0,T],H_p^{gamma}(mathbb{R}^d))$ in probability, for some $hetain(0,1/2),gammain(1,2)$, and $p>2$. We also prove a Stroock-Varadhan's type support theorem. To prove the results we combine V. Mackevicius ideas from his papers on Wong-Zakai theorem and the support theorem for diffusion processes with N.V. Krylov's $L_p$-theory of SPDEs.

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Cited in

(5)

• Wong-Zakai approximation for a class of SPDEs with fully local monotone coefficients and its application
• A Wong-Zakai theorem for stochastic PDEs
• Wong-Zakai approximation and support theorem for SPDEs with locally monotone coefficients
• Wong-Zakai approximation and support theorem for 2D and 3D stochastic convective Brinkman-Forchheimer equations
• Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations

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