Splitting methods for SPDEs: From robustness to financial engineering, optimal control and nonlinear filtering
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 2072 | |
| dc.contributor.author | Bayer, Christian | |
| dc.contributor.author | Oberhauser, Harald | |
| dc.date.accessioned | 2016-03-24T17:36:53Z | |
| dc.date.available | 2019-06-28T08:11:36Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | In this survey chapter we give an overview of recent applications of the splitting method to stochastic (partial) differential equations, that is, differential equations that evolve under the influence of noise. We discuss weak and strong approximations schemes. The applications range from the management of risk, financial engineering, optimal control and nonlinear filtering to the viscosity theory of nonlinear SPDEs. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 2198-5855 | |
| dc.identifier.uri | https://doi.org/10.34657/3221 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2818 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Splitting methots | eng |
| dc.subject.other | SPDEs | eng |
| dc.subject.other | rough paths | eng |
| dc.subject.other | Ninomiya-Victoit method | eng |
| dc.title | Splitting methods for SPDEs: From robustness to financial engineering, optimal control and nonlinear filtering | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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