Approximation of some stochastic differential equations by the splitting up method

A. Bensoussan; R. Glowinski; A. Raşcanu

doi:10.1007/BF01184157

Author(s)

A. Bensoussan
R. Glowinski
A. Raşcanu

Detail(s)

Original language	English
Pages (from-to)	81-106
Journal / Publication	Applied Mathematics & Optimization
Volume	25
Issue number	1
Publication status	Published - Jan 1992
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1007/BF01184157 Final Published version
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Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0010032948&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(078c7fae-196e-41ac-952f-52a9189f5c5d).html

Abstract

In this paper we deal with the convergence of some iterative schemes suggested by Lie-Trotter product formulas for stochastic differential equations of parabolic type. The stochastic equation is split into two problems which are simpler for numerical computations, as already shown, for example, for the Zakaï equation. An estimate of the approximation error is given in a particular case. © 1992 Springer-Verlag New York Inc.

Citation Format(s)

[ RIS ] [ BibTeX ]

Approximation of some stochastic differential equations by the splitting up method. / Bensoussan, A.; Glowinski, R.; Raşcanu, A.
In: Applied Mathematics & Optimization, Vol. 25, No. 1, 01.1992, p. 81-106.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Bensoussan, A, Glowinski, R & Raşcanu, A 1992, 'Approximation of some stochastic differential equations by the splitting up method', Applied Mathematics & Optimization, vol. 25, no. 1, pp. 81-106. https://doi.org/10.1007/BF01184157

Bensoussan, A., Glowinski, R., & Raşcanu, A. (1992). Approximation of some stochastic differential equations by the splitting up method. Applied Mathematics & Optimization, 25(1), 81-106. https://doi.org/10.1007/BF01184157

Bensoussan A, Glowinski R, Raşcanu A. Approximation of some stochastic differential equations by the splitting up method. Applied Mathematics & Optimization. 1992 Jan;25(1):81-106. doi: 10.1007/BF01184157

Bensoussan, A. ; Glowinski, R. ; Raşcanu, A. / Approximation of some stochastic differential equations by the splitting up method. In: Applied Mathematics & Optimization. 1992 ; Vol. 25, No. 1. pp. 81-106.