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

Abstract:
This article introduces the splitting method to systems driven by rough paths. 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.
Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.jde.2011.02.009

Authors


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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Oxford college:
St Hugh's College
Role:
Author
Publisher:
Elsevier Publisher's website
Journal:
Journal of Differential Equations Journal website
Volume:
251
Issue:
2
Pages:
316-338
Publication date:
2011-03-05
DOI:
EISSN:
1090-2732
ISSN:
0022-0396
Source identifiers:
548178
Keywords:
Pubs id:
pubs:548178
UUID:
uuid:01195155-24cc-40d3-ada2-5b9efb9bcf87
Local pid:
pubs:548178
Deposit date:
2018-03-21

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