Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
149 tokens/sec
GPT-4o
9 tokens/sec
Gemini 2.5 Pro Pro
47 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

A splitting algorithm for stochastic partial differential equations driven by linear multiplicative noise (1612.01816v2)

Published 6 Dec 2016 in math.PR

Abstract: We study the convergence of a Douglas-Rachford type splitting algorithm for the infinite dimensional stochastic differential equation $$dX+A(t)(X)dt=X\,dW\mbox{ in }(0,T);\ X(0)=x,$$ where $A(t):V\to V'$ is a nonlinear, monotone, coercive and demicontinuous operator with sublinear growth and $V$ is a real Hilbert space with the dual $V'$. $V$ is densely and continuously embedded in the Hilbert space $H$ and $W$ is an $H$-valued Wiener process. The general case of a maximal monotone operators $A(t):H\to H$ is also investigated.

Summary

We haven't generated a summary for this paper yet.