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Wong-Zakai approximations for stochastic differential equations. (English) Zbl 0860.60041

The author has been working for an extensive period on Wong-Zakai approximations for finite- and infinite-dimensional stochastic differential equations. The paper is a survey paper and provides an excellent overview over this field. It includes the approximation of stochastic delay equations, stochastic evolution equations, the Navier-Stokes equation and nonlinear stochastic equations in abstract spaces.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
60H05 Stochastic integrals
34K50 Stochastic functional-differential equations
41A10 Approximation by polynomials
65C20 Probabilistic models, generic numerical methods in probability and statistics
35Q30 Navier-Stokes equations
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
35R60 PDEs with randomness, stochastic partial differential equations
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