Approximation of some stochastic differential equations by the splitting up method
- Cite this article as:
- Bensoussan, A., Glowinski, R. & Raşcanu, A. Appl Math Optim (1992) 25: 81. doi:10.1007/BF01184157
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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.