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

DOI10.1007/978-3-319-41589-5_15MaRDI QIDQ5350487zbMATH OpenOpenAlexFDO

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

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)

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