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

DOI10.1007/978-3-319-41589-5_15zbMath1372.65014OpenAlexW2569333665MaRDI QIDQ5350487

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

zbMATH Keywords

optimal controlnonlinear filteringrisksplitting methodfinancial engineeringstochastic (partial) differential equationssurvey chapter

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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)

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