Wong--Zakai approximation of regime-switching SDEs via rough path theory

arXiv2304.10062MaRDI QIDQ6433703FDOQ6433703

Authors: Jasper Barr, Giang T. Nguyen, Oscar Peralta 

Publication date: 19 April 2023

Abstract: This paper investigates the convergence of Wong--Zakai approximations to regime-switching stochastic differential equations, generated by a collection of finite-variation approximations to Brownian motion. We extend the results of Nguyen and Peralta (2021) to $mathbb{R}^d$-valued RSSDE by utilising rough path theoretic tools, acquiring the same modification of rate.

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of rough analysis (60L90)

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