Solving linear parabolic rough partial differential equations

DOI10.1016/J.JMAA.2020.124236MaRDI QIDQ2190037zbMATH OpenOpenAlexWikidataFDO

Authors Christian Bayer, D. Belomestny, Martin Redmann, Sebastian Riedel, John Schoenmakers

Publication date 17 June 2020

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.09488

zbMATH Keywords

Feynman-Kac formulaMonte Carlononlinear stochastic systemsnonparametric regressionrough partial differential equationsrough paths

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: We study linear rough partial differential equations in the setting of [Friz and Hairer, Springer, 2014, Chapter 12]. More precisely, we consider a linear parabolic partial differential equation driven by a deterministic rough path $mathbfW$ of H"older regularity $alpha$ with $1/3<alphale1/2$. Based on a stochastic representation of the solution of the rough partial differential equation, we propose a regression Monte Carlo algorithm for spatio-temporal approximation of the solution. We provide a full convergence analysis of the proposed approximation method which essentially relies on the new bounds for the higher order derivatives of the solution in space. Finally, a comprehensive simulation study showing the applicability of the proposed algorithm is presented.

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Cited in

(8)

• A discrete approach to rough parabolic equations
• Numerical schemes for rough parabolic equations
• Dynamic programming for optimal stopping via pseudo-regression
• Global solutions for semilinear rough partial differential equations
• Delay rough evolution equations
• Runge-Kutta methods for rough differential equations
• The geometry of controlled rough paths
• Exact dimension reduction for rough differential equations

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