Numerical schemes for rough parabolic equations (Q434372): Difference between revisions
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Property / author | |||
Property / author: Aurélien Deya / rank | |||
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Property / author: Aurélien Deya / rank | |||
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In recent works, Gubinelli, Tindel and the author have studied the equation \[ y_0=\psi\in L^2(0,1), \qquad dy_t=Ay_tdt+\sum_{i=1}^mf_i(y_t)dx_t^i, \quad t\in[0,1], \] where \(A=\partial_{\xi}(a.\partial_{\xi})+c\) is a Sturm-Liouville operator with Dirichlet boundary conditions on \((0,1)\), \(f_i(y_t)(\xi):=g_i(y_t(\xi))\) for some smooth functions \(g_i:\mathbb{R}\rightarrow \mathbb{R}\), and \(x:[0,1]\rightarrow \mathbb{R}^m\) is a \(\gamma\)-Hölder path with \(\gamma>1/3\) which gives rise to a geometric rough path of order 1 or 2. They proved existence and uniqueness of a mild global solution for this equation. The aim of this paper is to introduce easily implementable approximation algorithms using a time-discretization and then a space-discretization following the Galerkin projection method. The results apply to a geometric 2-rough path, which covers the case of the multidimensional fractional Brownian motion with Hurst index \(H>1/3\). | |||
Property / review text: In recent works, Gubinelli, Tindel and the author have studied the equation \[ y_0=\psi\in L^2(0,1), \qquad dy_t=Ay_tdt+\sum_{i=1}^mf_i(y_t)dx_t^i, \quad t\in[0,1], \] where \(A=\partial_{\xi}(a.\partial_{\xi})+c\) is a Sturm-Liouville operator with Dirichlet boundary conditions on \((0,1)\), \(f_i(y_t)(\xi):=g_i(y_t(\xi))\) for some smooth functions \(g_i:\mathbb{R}\rightarrow \mathbb{R}\), and \(x:[0,1]\rightarrow \mathbb{R}^m\) is a \(\gamma\)-Hölder path with \(\gamma>1/3\) which gives rise to a geometric rough path of order 1 or 2. They proved existence and uniqueness of a mild global solution for this equation. The aim of this paper is to introduce easily implementable approximation algorithms using a time-discretization and then a space-discretization following the Galerkin projection method. The results apply to a geometric 2-rough path, which covers the case of the multidimensional fractional Brownian motion with Hurst index \(H>1/3\). / rank | |||
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Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65M75 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G22 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6054144 / rank | |||
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Property / zbMATH Keywords | |||
rough paths theory | |||
Property / zbMATH Keywords: rough paths theory / rank | |||
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Property / zbMATH Keywords | |||
stochastic PDEs | |||
Property / zbMATH Keywords: stochastic PDEs / rank | |||
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approximation schemes | |||
Property / zbMATH Keywords: approximation schemes / rank | |||
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fractional Brownian motion | |||
Property / zbMATH Keywords: fractional Brownian motion / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Dominique Lépingle / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W3098866117 / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1003.0587 / rank | |||
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Property / cites work | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 11:29, 5 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Numerical schemes for rough parabolic equations |
scientific article |
Statements
Numerical schemes for rough parabolic equations (English)
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10 July 2012
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In recent works, Gubinelli, Tindel and the author have studied the equation \[ y_0=\psi\in L^2(0,1), \qquad dy_t=Ay_tdt+\sum_{i=1}^mf_i(y_t)dx_t^i, \quad t\in[0,1], \] where \(A=\partial_{\xi}(a.\partial_{\xi})+c\) is a Sturm-Liouville operator with Dirichlet boundary conditions on \((0,1)\), \(f_i(y_t)(\xi):=g_i(y_t(\xi))\) for some smooth functions \(g_i:\mathbb{R}\rightarrow \mathbb{R}\), and \(x:[0,1]\rightarrow \mathbb{R}^m\) is a \(\gamma\)-Hölder path with \(\gamma>1/3\) which gives rise to a geometric rough path of order 1 or 2. They proved existence and uniqueness of a mild global solution for this equation. The aim of this paper is to introduce easily implementable approximation algorithms using a time-discretization and then a space-discretization following the Galerkin projection method. The results apply to a geometric 2-rough path, which covers the case of the multidimensional fractional Brownian motion with Hurst index \(H>1/3\).
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rough paths theory
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stochastic PDEs
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approximation schemes
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fractional Brownian motion
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