Numerical Schemes for Rough Parabolic Equations

@article{Deya2012NumericalSF,
  title={Numerical Schemes for Rough Parabolic Equations},
  author={Aur'elien Deya},
  journal={Applied Mathematics \& Optimization},
  year={2012},
  volume={65},
  pages={253-292}
}
  • A. Deya
  • Published 2 March 2010
  • Mathematics
  • Applied Mathematics & Optimization
This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0,1) perturbed by a non-linear rough signal. It is the continuation of Deya (Electron. J. Probab. 16:1489–1518, 2011) and Deya et al. (Probab. Theory Relat. Fields, to appear), where the existence and uniqueness of a solution has been established. The approach combines rough paths methods with standard considerations on discretizing stochastic PDEs. The results apply to a geometric 2… 
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