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Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations (2103.09192v1)

Published 16 Mar 2021 in math.PR and math.AP

Abstract: We extend to the multidimensional case a Wong-Zakai-type theorem proved by Hu and {\O}ksendal in [7] for scalar quasi-linear It^o stochastic differential equations (SDEs). More precisely, with the aim of approximating the solution of a quasilinear system of It^o's SDEs, we consider for any finite partition of the time interval $[0,T]$ a system of differential equations, where the multidimensional Brownian motion is replaced by its polygonal approximation and the product between diffusion coefficients and smoothed white noise is interpreted as a Wick product. We remark that in the one dimensional case this type of equations can be reduced, by means of a transformation related to the method of characteristics, to the study of a random ordinary differential equation. Here, instead, one is naturally lead to the investigation of a semilinear hyperbolic system of partial differential equations that we utilize for constructing a solution of the Wong-Zakai approximated systems. We show that the law of each element of the approximating sequence solves in the sense of distribution a Fokker-Planck equation and that the sequence converges to the solution of the It^o equation, as the mesh of the partition tends to zero.

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