scientific article; zbMATH DE number 5207296

zbMath1156.60052MaRDI QIDQ5423777

Saadia Ghazali, Dan Crisan

Publication date: 31 October 2007

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

convergence ratesfiltering problemweak approximation of stochastic differential equationsLie algebra generated by vector fieldsStratonovich-Taylor expansionsm-perfect families

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Monte Carlo construction of cubature on Wiener space ⋮ High order recombination and an application to cubature on Wiener space ⋮ Second order discretization of backward SDEs and simulation with the cubature method ⋮ Cubature methods for stochastic (partial) differential equations in weighted spaces ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ Cubature Methods and Applications ⋮ A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations

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