Oscar Peralta

Wong–Zakai approximations with convergence rate for stochastic differential equations with regime switching

We construct Wong--Zakai approximations of time--inhomogeneous stochastic differential equations with regime switching (RSSDEs), and provide a convergence rate. %Given a family of finite-variation processes $\{\mathcal{F}^λ\}_{λ\ge 0}$ that converge strongly to a standard Brownia...