Cubature Methods and Applications
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Publication:2847839
DOI10.1007/978-3-319-00413-6_4zbMath1273.65011OpenAlexW2229763788MaRDI QIDQ2847839
Colm Nee, Konstantinos Manolarakis, Dan Crisan
Publication date: 11 September 2013
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-00413-6_4
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Software, source code, etc. for problems pertaining to probability theory (60-04)
Related Items (16)
Markov semigroups with hypocoercive-type generator in infinite dimensions: ergodicity and smoothing ⋮ An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ A weak approximation with asymptotic expansion and multidimensional Malliavin weights ⋮ On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ Smoothing properties of McKean-Vlasov SDEs ⋮ Long- and short-time behaviour of hypocoercive-type operators in infinite dimensions: An analytic approach ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing ⋮ Cubature method to solve BSDEs: Error expansion and complexity control ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups ⋮ Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs ⋮ A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
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