Weak convergence of stochastic integrals

MaRDI QIDQ6423435zbMATH OpenFDO

Authors Kenneth H. Karlsen, Peter H. C. Pang

Publication date 15 January 2023

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Martingales and classical analysis (60G46) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: The convergence of stochastic integrals driven by a sequence of Wiener processes $W_{n}oW$ (with convergence in $C_t$) is crucial in the analysis of stochastic partial differential equations (SPDEs). The convergence we focus on in this paper is of the form $in{t}_0^T{V}_n,md{W}_{n}oin{t}_0^{T}V,mdW$, where $V_n$ takes values in $L^p([0,T];X)$ for some finite $pge2$ and a Banach space $X$. Standard methods do not directly apply when $V_n$ only converges weakly in the temporal variable to $V$. We provide (weak) convergence results that address the need to take limits of stochastic integrals when only weak temporal convergence is available. This is particularly relevant for SPDEs with singular behaviour.

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