Approximation of some stochastic differential equations by the splitting up method
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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.
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- Approximation of some stochastic differential equations by the splitting up method
Applied Mathematics and Optimization
Volume 25, Issue 1 , pp 81-106
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- Author Affiliations
- 1. University of Paris-Dauphine, 75775, Paris Cedex 16, France
- 2. INRIA Domaine de Voluceau, F-78, Rocquencourt, France
- 3. University of Houston, Houston, Texas, USA
- 4. Faculty of Mathematics, University of Iasi, 6600, Iasi, Romania