The Stratonovich heat equation: a continuity result and weak approximations

Details The Stratonovich heat equation: a continuity result and weak approximations The Stratonovich heat equation: a continuity result and weak approximations

2012-04-13

arxiv.org/abs/1204.2892v1

Mathematics

Probability

31 pages

Scientific paper

We consider a Stratonovich heat equation in $(0,1)$ with a nonlinear multiplicative noise driven by a trace-class Wiener process. First, the equation is shown to have a unique mild solution. Secondly, convolutional rough paths techniques are used to provide an almost sure continuity result for the solution with respect to the solution of the 'smooth' equation obtained by replacing the noise with an absolutely continuous process. This continuity result is then exploited to prove weak convergence results based on Donsker and Kac-Stroock type approximations of the noise.

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