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Approximation of some stochastic differential equations by the splitting up method
In this paper we deal with the convergence of some iterative schemes suggested by Lie-Trotter product formulas for stochastic differential equations of parabolic type. The stochastic equation is split into two...
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Application de la méthode des éléments finis à l'approximation d'un problème de domaine optimal. Méthodes de résolution des problèmes approchés