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
TypeArticle accepté pour publication ou publié
Journal nameApplied Mathematics and Optimization
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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 / Keywordsstochastic differential equations of parabolic type
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