Necessary Optimality Conditions for the Control of Partial Integro-Differential Equations

DOI10.1007/978-3-319-17689-5_4zbMath1336.49029OpenAlexW2260221371MaRDI QIDQ3462306

Lukas A. Zimmer, Leonhard Frerick, Ekkehard W. Sachs

Publication date: 5 January 2016

Published in: Numerical Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-17689-5_4

zbMATH Keywords

optimal controlapplicationspartial integro-differential equations

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Applications of optimal control and differential games (49N90) Cell biology (92C37) Optimality conditions for problems in abstract spaces (49K27)

Cites Work

• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Efficient solution of a partial integro-differential equation in finance
• Implicit-explicit numerical schemes for jump-diffusion processes
• Regularity and stability for the mathematical programming problem in Banach spaces
• A short course on operator semigroups
• Maximum principle for semilinear stochastic evolution control systems
• One-Parameter Semigroups for Linear Evolution Equations
• On the approximation and efficient evaluation of integral terms in PDE models of cell adhesion
• Fast deterministic pricing of options on Lévy driven assets
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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