Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering

DOI10.1007/978-3-319-41589-5_15zbMATH Open1372.65014OpenAlexW2569333665MaRDI QIDQ5350487FDOQ5350487

Authors: Christian Bayer, Harald Oberhauser 

Publication date: 1 September 2017

Published in: Splitting Methods in Communication, Imaging, Science, and Engineering (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:082f7df9-e22a-46ff-8af8-e42f0de90986

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zbMATH Keywords

riskoptimal controlsplitting methodnonlinear filteringfinancial engineeringstochastic (partial) differential equationssurvey chapter

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (6)

• Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations
• Splitting integrators for linear Vlasov equations with stochastic perturbations
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Efficient option pricing in the rough Heston model using weak simulation schemes

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