Another approach to some rough and stochastic partial differential equations

Details Another approach to some rough and stochastic partial differential equations Another approach to some rough and stochastic partial differential equations

2009-08-19

arxiv.org/abs/0908.2814v1

Mathematics

Probability

Scientific paper

In this note we introduce a new approach to rough and stochastic partial differential equations (RPDEs and SPDEs): we consider general Banach spaces as state spaces and -- for the sake of simiplicity -- finite dimensional sources of noise, either rough or stochastic. By means of a time-dependent transformation of state space and rough path theory we are able to construct unique solutions of the respective R- and SPDEs. As a consequence of our construction we can apply the pool of results of rough path theory, in particular we obtain strong and weak numerical schemes of high order converging to the solution process.

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