On the splitting-up method for rough (partial) differential equations

Details On the splitting-up method for rough (partial) differential equations On the splitting-up method for rough (partial) differential equations

2010-08-03

arxiv.org/abs/1008.0513v1

Mathematics

Probability

Scientific paper

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.

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