Cubature on Wiener space in infinite dimension

DOI10.1098/rspa.2008.0013zbMath1186.60058arXiv0712.3763OpenAlexW2146707251MaRDI QIDQ3560331

Christian Bayer, Josef Teichmann

Publication date: 19 May 2010

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3763

zbMATH Keywords

stochastic partial differential equationscubature on Wiener spaceiterated itô-stratonovich integral

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Numerical integration (65D30)

Related Items (8)

ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS ⋮ Wong–Zakai approximations with convergence rate for stochastic partial differential equations ⋮ Cubature methods for stochastic (partial) differential equations in weighted spaces ⋮ Markov cubature rules for polynomial processes ⋮ A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method ⋮ Jump-diffusions in Hilbert spaces: existence, stability and numerics ⋮ A mild Itô formula for SPDEs ⋮ A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations

Cites Work

• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• Approximation for semilinear stochastic evolution equations
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Hypoellipticity in infinite dimensions and an application in interest rate theory
• Cubature on Wiener space
• Calculating the Greeks by cubature formulae
• The inverse function theorem of Nash and Moser
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

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