Add to ORKGIn this survey chapter we give an overview of recent applications of the splitting method to stochastic (partial) differential equations, that is, differential equations that evolve under the influence of noise. We discuss weak and strong approximations schemes. The applications range from the management of risk, financial engineering, optimal control and nonlinear filtering to the viscosity theory of nonlinear SPDEs
The method of characteristics is a powerful tool to solve some nonlinear second order stochastic PDE...
A stochastic partial differential equation (SPDE) is a partial differential equation containing a ra...
AbstractA new algorithm, which is based on the splitting-step idea and the penalization method, for ...
In this survey chapter we give an overview of recent applications of the splitting method to stochas...
In this survey chapter we give an overview of recent applications of the splitting method to stochas...
In this survey chapter we give an overview of recent applications of the splitting method to stochas...
This article introduces the splitting method to systems driven by rough paths. The focus is on (nonl...
AbstractThis article introduces the splitting method to systems driven by rough paths. The focus is ...
In this article, we construct and analyse an explicit numerical splitting method for a class of semi...
International audienceIn this article, we construct and analyse an explicit numerical splitting meth...
A splitting-up approximation is introduced for diffusion processes, based on the successive composit...
Abstract. We present an easy to implement drift splitting numerical method for the approxi-mation of...
Abstract. Construction of splitting-step methods and properties of related non-negativity and bounda...
Abstract. Construction of splitting-step methods and properties of related non-negativity and bounda...
International audienceWe consider linear and nonlinear reaction-diffusion problems, and their time d...
The method of characteristics is a powerful tool to solve some nonlinear second order stochastic PDE...
A stochastic partial differential equation (SPDE) is a partial differential equation containing a ra...
AbstractA new algorithm, which is based on the splitting-step idea and the penalization method, for ...
In this survey chapter we give an overview of recent applications of the splitting method to stochas...
In this survey chapter we give an overview of recent applications of the splitting method to stochas...
In this survey chapter we give an overview of recent applications of the splitting method to stochas...
This article introduces the splitting method to systems driven by rough paths. The focus is on (nonl...
AbstractThis article introduces the splitting method to systems driven by rough paths. The focus is ...
In this article, we construct and analyse an explicit numerical splitting method for a class of semi...
International audienceIn this article, we construct and analyse an explicit numerical splitting meth...
A splitting-up approximation is introduced for diffusion processes, based on the successive composit...
Abstract. We present an easy to implement drift splitting numerical method for the approxi-mation of...
Abstract. Construction of splitting-step methods and properties of related non-negativity and bounda...
Abstract. Construction of splitting-step methods and properties of related non-negativity and bounda...
International audienceWe consider linear and nonlinear reaction-diffusion problems, and their time d...
The method of characteristics is a powerful tool to solve some nonlinear second order stochastic PDE...
A stochastic partial differential equation (SPDE) is a partial differential equation containing a ra...
AbstractA new algorithm, which is based on the splitting-step idea and the penalization method, for ...