Cubature Methods and Applications (Q2847839): Difference between revisions

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+Dan Crisan
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+Konstantinos Manolarakis
@@ Property / author: Konstantinos Manolarakis / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1007/978-3-319-00413-6_4
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+W2229763788
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@@ Property / cites work @@
+Stochastic flows and Taylor series
@@ Property / cites work: Stochastic flows and Taylor series / rank @@
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+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
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+High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
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+Numerical methods for strong solutions of stochastic differential equations: an overview
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+Asymptotic expansion of stochastic flows
@@ Property / cites work: Asymptotic expansion of stochastic flows / rank @@
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+An efficient approximation method for stochastic differential equations by means of the exponential Lie series
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+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
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+Q4745735
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+Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
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+Q5423777
@@ Property / cites work: Q5423777 / rank @@
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+Minimal Entropy Approximations and Optimal Algorithms
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+Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+Backward Stochastic Differential Equations in Finance
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@@ Property / cites work @@
+Error expansion for the discretization of backward stochastic differential equations
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+A regression-based Monte Carlo method to solve backward stochastic differential equations
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@@ Property / cites work @@
+Efficient and Practical Implementations of Cubature on Wiener Space
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+Hypoelliptic second order differential equations
@@ Property / cites work: Hypoelliptic second order differential equations / rank @@
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+Q3780156
@@ Property / cites work: Q3780156 / rank @@
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+Q4002114
@@ Property / cites work: Q4002114 / rank @@
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+A survey of numerical methods for stochastic differential equations
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@@ Property / cites work @@
+Q3217380
@@ Property / cites work: Q3217380 / rank @@
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+Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
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+Q4432883
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+Q5486567
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+Q3336457
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+Q3684932
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+Q3771355
@@ Property / cites work: Q3771355 / rank @@
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+High order recombination and an application to cubature on Wiener space
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+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
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+Representation theorems for backward stochastic differential equations
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+On the exponential solution of differential equations for a linear operator
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+Q4311825
@@ Property / cites work: Q4311825 / rank @@
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+A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
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+Weak Approximation of Solutions of Systems of Stochastic Differential Equations
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+An asymptotically efficient difference formula for solving stochastic differential equations
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+An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst
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@@ Property / cites work @@
+Q4457878
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+A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
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+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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+Q3749860
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+Q5491047
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+Q3308802
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+Martingale representation theorem for the \(G\)-expectation
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+Diffusion processes with continuous coefficients, I
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+Q5670045
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+On degenerate elliptic-parabolic operators of second order and their associated diffusions
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+Q3331110
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+Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
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+Expansion of the global error for numerical schemes solving stochastic differential equations
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+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
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