Monte Carlo construction of cubature on Wiener space
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Publication:2135546
DOI10.1007/s13160-021-00496-6OpenAlexW4206615766MaRDI QIDQ2135546
Ken'ichiro Tanaka, Satoshi Hayakawa
Publication date: 9 May 2022
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.08219
Lie algebraMonte Carlo samplingcubature on Wiener spaceTchakaloff's theoremweak approximation of SDE
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