On the splitting-up method for rough (partial) differential equations |
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Authors: | Peter Friz Harald Oberhauser |
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Institution: | a TU Berlin, Germany b WIAS, Germany |
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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. |
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