APPROXIMATION OF SOME STOCHASTIC DIFFERENTIAL-EQUATIONS BY THE SPLITTING UP METHOD

被引：59

作者：

BENSOUSSAN, A

GLOWINSKI, R

RASCANU, A

机构：

[1] INST NATL RECH INFORMAT & AUTOMAT,ROCQUENCOURT 78,FRANCE

[2] UNIV HOUSTON,HOUSTON,TX 77004

[3] UNIV IASI,FAC MATH,R-6600 IASI,ROMANIA

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 1992年 / 25卷 / 01期

关键词：

D O I：

10.1007/BF01184157

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 Zakai equation. An estimate of the approximation error is given in a particular case.

引用

页码：81 / 106

页数：26

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