52 citations · 134 across the 26 of their papers we have counts for
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math.PR2010
A discrete approach to Rough Parabolic Equations
Aurélien Deya
By combining the formalism of \cite{RHE} with a discrete approach close to the considerations of \cite{Davie}, we interpret and solve the rough partial differential equation $dy_t=…
math.PR2010★ 7 cited
Numerical Schemes for Rough Parabolic Equations
Aurélien Deya
This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0, 1) perturbed by a non-linear rough signal. It is the continuation of…
math.PR2010★ 52 cited
A Milstein-type scheme without Levy area terms for SDEs driven by fractional Brownian motion
Aurélien Deya, Andreas Neuenkirch, Samy Tindel
In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greate…