Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Cubature Methods and Applications - MaRDI portal

Cubature Methods and Applications (Q2847839)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Cubature Methods and Applications	scientific article

Statements

scholarly article

0 references

Cubature Methods and Applications (English)

0 references

0 references

0 references

Konstantinos Manolarakis

0 references

Lecture Notes in Mathematics

0 references

publication date

11 September 2013

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1007/978-3-319-00413-6_4

0 references

Stochastic flows and Taylor series

0 references

The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

0 references

High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

0 references

Numerical methods for strong solutions of stochastic differential equations: an overview

0 references

Asymptotic expansion of stochastic flows

0 references

An efficient approximation method for stochastic differential equations by means of the exponential Lie series

0 references

Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

0 references

0 references

Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations

0 references

0 references

Minimal Entropy Approximations and Optimal Algorithms

0 references

Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

0 references

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

0 references

Backward Stochastic Differential Equations in Finance

0 references

Error expansion for the discretization of backward stochastic differential equations

0 references

A regression-based Monte Carlo method to solve backward stochastic differential equations

0 references

Efficient and Practical Implementations of Cubature on Wiener Space

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Hypoelliptic second order differential equations

0 references

0 references

0 references

A survey of numerical methods for stochastic differential equations

0 references

0 references

Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

0 references

0 references

0 references

0 references

0 references

0 references

High order recombination and an application to cubature on Wiener space

0 references

Cubature on Wiener space

0 references

Representation theorems for backward stochastic differential equations

0 references

On the exponential solution of differential equations for a linear operator

0 references

0 references

A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

0 references

Weak Approximation of Solutions of Systems of Stochastic Differential Equations

0 references

An asymptotically efficient difference formula for solving stochastic differential equations

0 references

An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst

0 references

0 references

A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method

0 references

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

0 references

0 references

0 references

0 references

Martingale representation theorem for the \(G\)-expectation

0 references

Diffusion processes with continuous coefficients, I

0 references

0 references

On degenerate elliptic-parabolic operators of second order and their associated diffusions

0 references

0 references

Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

0 references

Expansion of the global error for numerical schemes solving stochastic differential equations

0 references

A numerical scheme for BSDEs

0 references

Identifiers

zbMATH Open document ID

0 references

10.1007/978-3-319-00413-6_4

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2847839

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2847839&oldid=35351466"