A splitting method for stochastic goursat problem

DOI10.1080/07362999908809603MaRDI QIDQ4248564zbMATH OpenOpenAlexFDO

Authors

Publication date 29 September 1999

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999908809603

zbMATH Keywords

splitting methodstochastic Goursat problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

Stochastic integral equations contain two types of integrals, Riemann or Lebesgue integral and an Itô or Stratonovich integral. Splitting method is used and relies on two sequences of equations with a time discretization. The first sequence contains usual differential equations and the second one is based on stochastic integrals. This method is applied for a stochastic Goursat problem, and several lemmas and two theorems are proved.

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Cites work

• Approximation of the Zakaï Equation by the Splitting up Method
• scientific article; zbMATH DE number 4013679 (Why is no real title available?)
• scientific article; zbMATH DE number 797738 (Why is no real title available?)
• On the approximation of stochastic partial differential equations i
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Cited in

(9)

• Strong scheme for a stochastic Goursat problem.
• Stochastic adsorption--desorption problem for mass-spring systems in the nanotechnology
• Properties of set-valued integrals and set-valued stochastic equations driven by two-parameter martingales
• Splitting-up scheme for nonlinear stochastic hyperbolic equations
• Euler Scheme for a Stochastic Goursat Problem
• scientific article; zbMATH DE number 7234903 (Why is no real title available?)
• Convergence for a splitting-up scheme for the 3D stochastic Navier-Stokes- model
• Stochastic inclusions and set-valued stochastic equations with mixed integrals in the plane
• Non-linear Young equations in the plane and pathwise regularization by noise for the stochastic wave equation

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