On the splitting-up method for rough (partial) differential equations (Q543921)

This article introduces the splitting-up method for ordinary differential equations of the form \[ dy=V(y)dt+W(y)d\mathbf{z}, \] and for partial differential equations of the form \[ du=F(t,x,u,Du,D^2u)dt+\Lambda(t,x,u,Du)d\mathbf{z}, \] with a random noise \(\mathbf z\) which is of rough path type with finite \(p\)-variation for some \(p\geq1\). The splitting-up method (also known as the predictor-corrector method) is used as a numerical method for approximating the rough differential equations, combined with viscosity techniques.