Contributions to Books:
P. Dörsek, J. Teichmann:
"A semigroup point of view on splitting schemes for stochastic (partial) differential equations";
in: "ASC Report 28/2010",
issued by: Institute for Analysis and Scientific Computing;
Vienna University of Technology,
We construct normed spaces of real-valued functions with controlled
growth on possibly infinite-dimensional state spaces such that semigroups
of positive, bounded operators (Pt)t≥0 thereon with limt→0+ Ptf(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.
Electronic version of the publication:
Created from the Publication Database of the Vienna University of Technology.