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 publiéDate
1992Journal name
Applied Mathematics and OptimizationVolume
25Number
1Publisher
Springer
Pages
81-106
Publication identifier
Metadata
Show full item recordAbstract (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 typeRelated items
Showing items related by title and author.
-
Bensoussan, Alain; Glowinski, Roman; Rascanu, A. (1990) Article accepté pour publication ou publié
-
Bensoussan, Alain; Glowinski, Roman (1989) Communication / Conférence
-
Bensoussan, Alain (1990) Communication / Conférence
-
Bensoussan, Alain (1987) Communication / Conférence
-
Zissimopoulos, Vassilis; Paschos, Vangelis; Pekergin, Ferhan (1991) Communication / Conférence