Splitting methods for SPDEs: From robustness to financial engineering, optimal control and nonlinear filtering
- Bayer, Christian
- Oberhauser, Harald
2010 Mathematics Subject Classification
- 60H15 60H35 65C30
- Splitting methots, SPDEs, rough paths, Ninomiya-Victoit method
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.
- Splitting Methods in Communication, Imaging, Science, and Engineering, R. Glowinski, S.J. Osher, W. Yin, eds., Scientific Computation, Springer International P ublishing Switzerland, 2017, pp. 499--539.