L ² convergence of smooth approximations of stochastic differential equations with unbounded coefficients

DOI10.1080/07362994.2023.2260863arXiv2011.13009OpenAlexW3110399036MaRDI QIDQ6131979FDOQ6131979

Publication date: 18 April 2024

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: The aim of this paper is to obtain convergence in mean in the uniform topology of piecewise linear approximations of Stochastic Differential Equations (SDEs) with

C^{1}

drift and

C^{2}

diffusion coefficients with uniformly bounded derivatives. Convergence analyses for such Wong-Zakai approximations most often assume that the coefficients of the SDE are uniformly bounded. Almost sure convergence in the unbounded case can be obtained using now standard rough path techniques, although

L^{q}

convergence appears yet to be established and is of importance for several applications involving Monte-Carlo approximations. We consider

L^{2}

convergence in the unbounded case using a combination of traditional stochastic analysis and rough path techniques. We expect our proof technique extend to more general piecewise smooth approximations.

Full work available at URL: https://arxiv.org/abs/2011.13009

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zbMATH Keywords

stochastic differential equations unbounded coefficients rough paths Wong-Zakai piecewise smooth approximations

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Numerical analysis (65-XX)

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L 2 convergence of smooth approximations of stochastic differential equations with unbounded coefficients

L ² convergence of smooth approximations of stochastic differential equations with unbounded coefficients