Journal article
Splitting methods for SPDEs: from robustness to financial engineering, optimal control and nonlinear filtering
- 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.
- Publication status:
- Published
- Peer review status:
- Reviewed (other)
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- Files:
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(Preview, Accepted manuscript, pdf, 1.5MB, Terms of use)
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- Publisher copy:
- 10.1007/978-3-319-41589-5
Authors
- Publisher:
- Springer
- Journal:
- Splitting Methods in Communication, Imaging, Science, and Engineering More from this journal
- Series:
- Scientific Computation
- Publication date:
- 2016-01-06
- DOI:
- EISSN:
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2198-2589
- ISSN:
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1434-8322
- ISBN:
- 9783319415871
- Keywords:
- Pubs id:
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pubs:844958
- UUID:
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uuid:082f7df9-e22a-46ff-8af8-e42f0de90986
- Local pid:
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pubs:844958
- Source identifiers:
-
844958
- Deposit date:
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2018-05-01
- ARK identifier:
Terms of use
- Copyright holder:
- Springer
- Copyright date:
- 2016
- Notes:
- © Springer International Publishing Switzerland 2016. his is the Accepted Manuscript version of the chapter. The final version is available online from Springer at: https://doi.org/10.1007/978-3-319-41589-5
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