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A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations


  • Philipp Doersek
  • Josef Teichmann


We construct normed spaces of real-valued functions with controlled growth on possibly infinite-dimensional state spaces such that semigroups of positive, bounded operators $(P_t)_{t\ge 0}$ thereon with $\lim_{t\to 0+}P_t f(x)=f(x)$ are in fact strongly continuous. This result applies to prove optimal rates of convergence of splitting schemes for stochastic (partial) differential equations with linearly growing characteristics and for sets of functions with controlled growth. Applications are general Da Prato-Zabczyk type equations and the HJM equations from interest rate theory.

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  • Philipp Doersek & Josef Teichmann, 2010. "A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations," Papers 1011.2651,
  • Handle: RePEc:arx:papers:1011.2651

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    Cited by:

    1. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719,
    2. repec:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500133 is not listed on IDEAS

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