Monte Carlo construction of cubature on Wiener space

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

zbMATH Keywords

Lie algebraMonte Carlo samplingcubature on Wiener spaceTchakaloff's theoremweak approximation of SDE

Mathematics Subject Classification ID

Numerical analysis (65-XX) Partial differential equations (35-XX)

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Total variation bound for Milstein scheme without iterated integrals ⋮ Estimating the probability that a given vector is in the convex hull of a random sample

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