Gradient Computation for Model Calibration with Pointwise Observations
DOI10.1007/978-3-0348-0631-2_7zbMath1272.49052OpenAlexW42579760MaRDI QIDQ2849376
Matthias Schu, Ekkehard W. Sachs
Publication date: 17 September 2013
Published in: Control and Optimization with PDE Constraints (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-0348-0631-2_7
discretizationoptimizationpartial integro-differential equationsoption pricing modelspointwise observations
Optimality conditions for problems involving partial differential equations (49K20) Integro-partial differential equations (45K05) Financial applications of other theories (91G80) Discrete approximations in optimal control (49M25) Integro-partial differential equations (35R09)
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