Rough path stability of (semi-)linear SPDEs View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2014-02

AUTHORS

Peter Friz, Harald Oberhauser

ABSTRACT

We give meaning to linear and semi-linear (possibly degenerate) parabolic partial differential equations with (affine) linear rough path noise and establish stability in a rough path metric. In the case of enhanced Brownian motion (Brownian motion with its Lévy area) as rough path noise the solution coincides with the standard variational solution of the SPDE. More... »

PAGES

401-434

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00440-013-0483-2

DOI

http://dx.doi.org/10.1007/s00440-013-0483-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1020622630


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