scholarly journals Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering

2016 ◽  
pp. 499-539
Author(s):  
Christian Bayer ◽  
Harald Oberhauser
Keyword(s):  
Optimal Control ◽  
Financial Engineering ◽  
Nonlinear Filtering ◽  
Splitting Methods

scholarly journals Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

Stochastics ◽  
1982 ◽  
Vol 8 (1) ◽  
pp. 63-77 ◽  
Author(s):  
Wendell H. Fleming ◽  
Sanjoy K. Mitter
Keyword(s):  
Optimal Control ◽  
Nonlinear Filtering ◽  
Diffusion Processes

Numerical Solution of a Hyperbolic-parabolic System by Splitting Methods and Optimal Control Approaches

2001 ◽  
Vol 7 (3) ◽  
pp. 193-207
Author(s):  
V.I. Agoshkov ◽  
E.A. Botvinovsky
Keyword(s):  
Optimal Control ◽  
Optimal Control Problem ◽  
Control Theory ◽  
Control Problem ◽  
Optimal Control Theory ◽  
Iterative Process ◽  
Splitting Method ◽  
Splitting Methods ◽  
New Approach ◽  
Well Posed

AbstractA new approach has been developed for solving the tide dynamics problem, based on the splitting methods and the optimal control theory. We first apply the classical splitting method for solving the problem. Then we use the optimal control theory approaches to the system of equations obtained after the splitting. An optimal control problem has been formulated for realizing a splitting method step. We prove that the optimal control problem is well-posed and we propose an iterative process of the minimization problem. The results of the numerical experiments are presented.

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