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dc.contributor.authorBensoussan, Alain
dc.contributor.authorGlowinski, Roman
dc.contributor.authorRascanu, A.
dc.date.accessioned2014-11-25T15:50:29Z
dc.date.available2014-11-25T15:50:29Z
dc.date.issued1992
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14304
dc.language.isoenen
dc.subjectstochastic differential equations of parabolic typeen
dc.subject.ddc515en
dc.titleApproximation of some stochastic differential equations by the splitting up methoden
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn 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.en
dc.relation.isversionofjnlnameApplied Mathematics and Optimization
dc.relation.isversionofjnlvol25en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate1992
dc.relation.isversionofjnlpages81-106en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/BF01184157en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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