Cubature on C 1 Space

DOI10.1007/978-3-0348-0631-2_9zbMath1275.65017OpenAlexW1570714159MaRDI QIDQ2849379

Gabriel Turinici

Publication date: 17 September 2013

Published in: Control and Optimization with PDE Constraints (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0631-2_9

zbMATH Keywords

numerical examplescubature formulasChen seriesstochastic analysisChen signaturecubature financecubature on infinite-dimensional spacecubature Wiener

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Multidimensional problems (41A63) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

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