Solving linear parabolic rough partial differential equations
Probability
2018-03-28 v1
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 of H\"older regularity with . 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.
Cite
@article{arxiv.1803.09488,
title = {Solving linear parabolic rough partial differential equations},
author = {Christian Bayer and Denis Belomestny and Martin Redmann and Sebastian Riedel and John Schoenmakers},
journal= {arXiv preprint arXiv:1803.09488},
year = {2018}
}