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Approximation of some stochastic differential equations by the splitting up method

Bensoussan, Alain; Glowinski, Roman; Rascanu, A. (1992), Approximation of some stochastic differential equations by the splitting up method, Applied Mathematics and Optimization, 25, 1, p. 81-106. http://dx.doi.org/10.1007/BF01184157

Type
Article accepté pour publication ou publié
Date
1992
Journal name
Applied Mathematics and Optimization
Volume
25
Number
1
Publisher
Springer
Pages
81-106
Publication identifier
Metadata
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Author(s)
Bensoussan, Alain
Glowinski, Roman
Rascanu, A.
Abstract (EN)
In this paper we deal with the convergence of some iterative schemes suggested by Lie-Trotter product formulas for stochastic differential equations of parabolic type. The stochastic equation is split into two problems which are simpler for numerical computations, as already shown, for example, for the Zakaï equation. An estimate of the approximation error is given in a particular case.
Subjects / Keywords
stochastic differential equations of parabolic type