scientific article; zbMATH DE number 5489257

MaRDI QIDQ5503156zbMATH OpenFDO

Authors Ekkehard W. Sachs, Matthias Schu

Publication date 12 January 2009

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods (including Monte Carlo methods) (91G60)

Cited in

(6)

• A dual-weighted trust-region adaptive POD 4-D var applied to a finite-volume shallow water equations model on the sphere
• Reduced basis methods for pricing options with the Black-Scholes and Heston models
• Adaptive trust-region POD methods in PIDE-constrained optimization
• POD-Galerkin approximations in PDE-constrained optimization
• Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation

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