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

2023/04/20 by Jasper Barr, Barr, Jasper, Giang T. Nguyen +3
Economics, Econometrics and Finance · Mathematics · #60F15 #60H10 #60L90 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2304.10062

openalex publication_date 2023/04/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

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 ℝ^d-valued RSSDE by utilising rough path theoretic tools, acquiring the same modification of rate.

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