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

DOI10.1007/S40072-020-00168-5zbMATH Open1470.35453arXiv1808.07584OpenAlexW3013635490MaRDI QIDQ2045407FDOQ2045407

Authors: Timur Yastrzhembskiy 

Publication date: 12 August 2021

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

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.

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

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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)

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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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