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  • Search: subject:"parabolic partial differential equation"
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Subject
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A-posteriori error 2 Proper Orthogonal Decomposition 2 Quasilinear parabolic partial differential equation 2 Reduced basis 2 4/2 stochastic volatility model 1 Actuarial mathematics 1 Analysis 1 Lie symmetries 1 Mathematical analysis 1 Option pricing theory 1 Optionspreistheorie 1 Reinsurance 1 Risikomodell 1 Risk model 1 Rückversicherung 1 Stochastic process 1 Stochastischer Prozess 1 Versicherungsmathematik 1 Volatility 1 Volatilität 1 mean-variance optimization 1 parabolic partial differential equation 1 parametrix method 1
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Free 3
Type of publication
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Article 3
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Article 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 3
Author
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Hoppe, Fabian 2 Neitzel, Ira 2 Muravey, Dmitry 1 Shen, Yang 1 Wang, Wenyuan 1 Zeng, Yan 1
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Computational Optimization and Applications 2
Source
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EconStor 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023
Persistent link: https://www.econbiz.de/10014336459
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A-posteriori reduced basis error-estimates for a semi-discrete in space quasilinear parabolic PDE
Hoppe, Fabian; Neitzel, Ira - In: Computational Optimization and Applications (2021), pp. 1-30
We prove a-posteriori error-estimates for reduced-order modeling of quasilinear parabolic PDEs with non-monotone nonlinearity. We consider the solution of a semi-discrete in space equation as reference, and therefore incorporate reduced basis-, empirical interpolation-, and...
Persistent link: https://www.econbiz.de/10014501692
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A-posteriori reduced basis error-estimates for a semi-discrete in space quasilinear parabolic PDE
Hoppe, Fabian; Neitzel, Ira - In: Computational Optimization and Applications 87 (2021) 3, pp. 755-784
We prove a-posteriori error-estimates for reduced-order modeling of quasilinear parabolic PDEs with non-monotone nonlinearity. We consider the solution of a semi-discrete in space equation as reference, and therefore incorporate reduced basis-, empirical interpolation-, and...
Persistent link: https://www.econbiz.de/10015403568
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