- Date: 25 Mar. (Thu.)
- Place: On the Web
- Time: 16:30 – 18:00
- Speaker: Toshiyuki Nakayama (MUFG Bank, Ltd.)
- Title: Convergence speed of Wong-Zakai approximation for stochastic PDEs (Joint work with Stefan Tappe)
- Abstract:

We talk about semi-linear stochastic differential equation (SPDE) driven by finite dimensional Brownian motion. There are a few results regarding convergence rates, such as for a second-order parabolic type (Gyöngy and Shmatkov (2006), Gyöngy and Stinga (2013)) and for the infinitesimal generator of a compact and analytic semigroup (Hausenblas(2007)).

Our goal is to establish a convergence rate without imposing restrictions on the generator, that is, the generator is allowed to be the infinitesimal generator of an arbitrary strongly continuous semigroup.

Finally, we will introduce an application example for SPDE called HJMM that appears in mathematical finance.

Today’s talk is based on a co-authored paper with Stefan Tappe “ Wong-Zakai approximations with convergence rate for stochastic partial differential equations ”,

STOCHASTIC ANALYSIS AND APPLICATIONS 2018, VOL. 36, NO. 5, pp. 832–857.