- 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
- Version:
- Accepted manuscript
- Files:
-
-
(pdf, 308.0KB)
-
- Publisher copy:
- 10.1016/j.jde.2011.02.009
-
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- 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
- Pubs id:
-
pubs:548178
- URN:
-
uri:01195155-24cc-40d3-ada2-5b9efb9bcf87
- UUID:
-
uuid:01195155-24cc-40d3-ada2-5b9efb9bcf87
- Local pid:
- pubs:548178
- Paper number:
- 2
- Keywords:
- Copyright holder:
- Elsevier
- Copyright date:
- 2011
- Notes:
- Copyright © 2011 Elsevier Inc. All rights reserved. This is the accepted manuscript version of the article. The final version is available online from Elsevier at: 10.1016/j.jde.2011.02.009
Journal article
On the splitting-up method for rough (partial) differential equations
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