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

zbMATH Keywords

discretizationoptimizationpartial integro-differential equationsoption pricing modelspointwise observations

Mathematics Subject Classification ID

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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