  In a recent article Lanconelli and Scorolli (2021) extended to the
multidimensional case a Wong-Zakai-type approximation for It\^o stochastic
differential equations proposed by \Oksendal and Hu (1996). The aim of the
current paper is to extend the latter result to system of stochastic
differential equations of It\^o type driven by fractional Brownian motion (fBm)
like those considered by Hu (2018). The covariance structure of the fBm
precludes us from using the same approach as that used by Lanconelli and
Scorolli and instead we employ a truncated Cameron-Martin expansion as the
approximation for the fBm. We are naturally led to the investigation of a
semilinear hyperbolic system of evolution equations in several space variables
that we utilize for constructing a solution of the Wong-Zakai approximated
systems. We show that the law of each element of the approximating sequence
solves in the sense of distribution a Fokker-Planck equation and that the
sequence converges to the solution of the Ito\^o equation, as the number of
terms in the expansion goes to infinite.
