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arXiv · 1008.0513

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

Peter Friz·Harald Oberhauser
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Abstract

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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Peter Friz, Harald Oberhauser. 2010-08-03. On the splitting-up method for rough (partial) differential equations. https://arxiv.org/abs/1008.0513

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