On the splitting-up method and stochastic partial differential equations

DOI10.1214/aop/1048516528zbMath1028.60058OpenAlexW2003393668MaRDI QIDQ1394518

István Gyöngy, Nicolai V. Krylov

Publication date: 13 January 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1048516528

zbMATH Keywords

strong convergenceerror boundsnonlinear filteringnumerical approximationZakai equationsplitting-up methodstochastic initial value problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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