The splitting method for SPDEs: from robustness to applications in financial engineering, nonlinear filtering and optimal control

Stochastic Analysis Seminar

The splitting-up method is a powerful tool to solve (SP)DEs by dividing the equation into a set of simpler equations that are easier to handle. I will speak about how such splitting schemes can be derived and extended by insights from the theory of rough paths.

Finally, I will discuss numerics for real-world applications that appear in the management of risk and engineering applications like nonlinear filtering.

 

Location:
Speaker(s):

HARALD OBERHAUSER

Date:
Monday, February 24, 2014 - 14:15
to 15:15