A priorierror estimates for reduced order models in finance

DOI10.1051/m2an/2012039zbMath1268.91182OpenAlexW2019655926MaRDI QIDQ2839160

Ekkehard W. Sachs, Matthias Schu

Publication date: 4 July 2013

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/m2an/2012039

zbMATH Keywords

error estimatesproper orthogonal decompositiona priori error estimatereduced-order modelintegro-partial differential equationsoption pricing models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Initial value problems for second-order parabolic equations (35K15) Integro-partial differential equations (35R09)

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