Markov cubature rules for polynomial processes

DOI10.1016/j.spa.2019.06.010zbMath1457.60052arXiv1707.06849OpenAlexW2566004933WikidataQ127682811 ScholiaQ127682811MaRDI QIDQ1986009

Damir Filipović, Martin Larsson, Sergio Pulido

Publication date: 7 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.06849

zbMATH Keywords

American optionstransition probabilitiescubature ruleasymptotic momentspolynomial processtransition rate matrix

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of stochastic analysis (to PDEs, etc.) (60H30) General theory of stochastic processes (60G07) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Cubature Method for Stochastic Volterra Integral Equations ⋮ Quantization goes polynomial

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