Approximation of some stochastic differential equations by the splitting up method

DOI10.1007/BF01184157zbMath0745.65089OpenAlexW1997516236MaRDI QIDQ1186093

Alain Bensoussan, Roland Glowinski, Aurel Răşcanu

Publication date: 28 June 1992

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01184157

zbMATH Keywords

stochastic differential equationconvergenceerror boundsparabolic typestochastic initial value problemsplitting up methodLie-Trotter product formulasZaklaï equation

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods, stochastic differential equations (65C99)

Related Items (29)

Pathwise approximation and simulation for the Zakai filtering equation through operator splitting ⋮ On the convergence of the Lie-Trotter formula for stochastic differential equations ⋮ Stochastic evolution equations in Hilbert spaces ⋮ Conservation laws with a random source ⋮ On the splitting-up method and stochastic partial differential equations ⋮ Splitting scheme for backward doubly stochastic differential equations ⋮ The numerical approximation of stochastic partial differential equations ⋮ Existence of a solution to the stochastic nonlocal Cahn–Hilliard Navier–Stokes model via a splitting-up method ⋮ Well-posedness of solutions to stochastic fluid-structure interaction ⋮ Approximation of backward stochastic partial differential equations by a splitting-up method ⋮ Splitting up method for the 2D stochastic Navier-Stokes equations ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ Weak and strong probabilistic solutions for a stochastic quasilinear parabolic equation with nonstandard growth ⋮ An adaptive algorithm for solving stochastic multi-point boundary value problems ⋮ On a time-splitting method for a scalar conservation law with a multiplicative stochastic perturbation and numerical experiments ⋮ Convergence for a Splitting-Up Scheme for the 3D Stochastic Navier-Stokes-α Model ⋮ Approximation of Stochastic Nonlinear Equations of Schrödinger Type by the Splitting Method ⋮ A First Order Scheme for Backward Doubly Stochastic Differential Equations ⋮ Space semi-discretisations for a stochastic wave equation ⋮ Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method ⋮ On the approximations of point measures associated with the Brownian web by means of the fractional step method and discretization of the initial interval ⋮ Approximation of a stochastic two-phase flow model by a splitting-up method ⋮ A splitting/polynomial chaos expansion approach for stochastic evolution equations ⋮ Splitting-up scheme for the stochastic Cahn–Hilliard Navier–Stokes model ⋮ Solution to a stochastic 3D nonlocal Cahn-Hilliard-Navier-Stokes model with shear dependent viscosity via a splitting-up method ⋮ Splitting-up scheme for nonlinear stochastic hyperbolic equations ⋮ Strong \(L^2\) convergence of time Euler schemes for stochastic 3D Brinkman-Forchheimer-Navier-Stokes equations ⋮ A Milstein scheme for SPDEs ⋮ A first order semi-discrete algorithm for backward doubly stochastic differential equations

Cites Work

• A Product Formula Approach to Nonlinear Optimal Control Problems
• Lie-trotter product formulas for nonlinear filtering
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
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