A splitting method for stochastic goursat problem (Q4248564)
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scientific article; zbMATH DE number 1299999
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| English | A splitting method for stochastic goursat problem |
scientific article; zbMATH DE number 1299999 |
Statements
A splitting method for stochastic goursat problem (English)
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29 September 1999
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splitting method
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stochastic Goursat problem
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0.7656641602516174
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0.7641366124153137
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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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