Cubature on Wiener space: pathwise convergence (Q358624): Difference between revisions

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-Peter K. Friz
@@ Property / author: Peter K. Friz / rank @@
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@@ Property / author @@
+Peter K. Friz
@@ Property / author: Peter K. Friz / rank @@
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+H30
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@@ Property / Mathematics Subject Classification ID @@
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+6196988
@@ Property / zbMATH DE Number: 6196988 / rank @@
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+cubature
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@@ Property / zbMATH Keywords @@
+rough paths
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@@ Property / zbMATH Keywords @@
+weak approximation schemes for SDEs
@@ Property / zbMATH Keywords: weak approximation schemes for SDEs / rank @@
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@@ Property / zbMATH Keywords @@
+pricing of path-dependent options
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+Semi-closed form cubature and applications to financial diffusion models
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+From random walks to rough paths
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+Distribution function inequalities for martingales
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@@ Property / cites work @@
+Rough path limits of the Wong-Zakai type with a modified drift term
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+Multidimensional Stochastic Processes as Rough Paths
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+Q4535130
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+Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
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+Differential equations driven by rough signals
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@@ Property / cites work @@
+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
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@@ Property / cites work @@
+A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
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@@ Property / cites work @@
+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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