Speaker
Peter Pang, University of Oslo
Abstract
The convergence of stochastic integrals driven by a sequence of Wiener processes \(W_n\rightarrow W\) a.s. in the space of continuous functions on \([0,T]\) is crucial in the analysis of SPDEs. In this talk I shall focus on convergence of stochastic integrals against \(W_n\) with integrands \(V_n \rightarrow V\). Standard methods do not directly apply when \(V_n\) converges to \(V\) only weakly in the temporal variable. I shall discuss several convergence results that address the need to take limits of stochastic integrals when strong temporal convergence is absent. The key ingredient is an additional condition in the form of a uniform \(L^1\) time translation estimate that is often available in SPDE settings but in itself insufficient to imply strong temporal compactness. This discussion will be in the context of applications to semilinear stochastic transport equations and stochastic conservation laws.