Numerical schemes for rough parabolic equations
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Publication:434372
DOI10.1007/s00245-011-9157-6zbMath1254.60073arXiv1003.0587OpenAlexW3098866117MaRDI QIDQ434372
Publication date: 10 July 2012
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.0587
Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
Related Items (4)
Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma ⋮ An Exponential Wagner--Platen Type Scheme for SPDEs ⋮ Non-linear rough heat equations ⋮ A mild Itô formula for SPDEs
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