On the splitting-up method for rough (partial) differential equations
Probability
2010-08-04 v1 Analysis of PDEs
Abstract
This article introduces the splitting method to systems responding to rough paths as external stimuli. The focus is on nonlinear partial differential equations with rough noise but we also cover rough differential equations. Applications to stochastic partial differential equations arising in control theory and nonlinear filtering are given.
Cite
@article{arxiv.1008.0513,
title = {On the splitting-up method for rough (partial) differential equations},
author = {Peter Friz and Harald Oberhauser},
journal= {arXiv preprint arXiv:1008.0513},
year = {2010}
}