The following pages link to Cubature on Wiener space (Q3043430):
Displayed 50 items.
- Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type (Q964936) (← links)
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
- Weak Milstein scheme without commutativity condition and its error bound (Q1635492) (← links)
- Variance reduction for discretised diffusions via regression (Q1674395) (← links)
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation (Q1713860) (← links)
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations (Q1762334) (← links)
- Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
- Markov cubature rules for polynomial processes (Q1986009) (← links)
- An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space (Q2013298) (← links)
- High order weak approximation for irregular functionals of time-inhomogeneous SDEs (Q2040466) (← links)
- Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes (Q2042872) (← links)
- Monte Carlo cubature construction (Q2044144) (← links)
- A weak approximation method for irregular functionals of hypoelliptic diffusions (Q2057274) (← links)
- Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\) (Q2123100) (← links)
- A higher order weak approximation of McKean-Vlasov type SDEs (Q2132430) (← links)
- Monte Carlo construction of cubature on Wiener space (Q2135546) (← links)
- Weak approximation of SDEs for tempered distributions and applications (Q2165018) (← links)
- Probabilistic error analysis for some approximation schemes to optimal control problems (Q2173064) (← links)
- Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
- Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems (Q2270135) (← links)
- On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) (Q2301477) (← links)
- On almost tight Euclidean designs for rotationally symmetric integrals (Q2303505) (← links)
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations (Q2316188) (← links)
- An isomorphism between branched and geometric rough paths (Q2320397) (← links)
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations (Q2342392) (← links)
- An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
- Second order discretization of backward SDEs and simulation with the cubature method (Q2448692) (← links)
- Runge-Kutta schemes for backward stochastic differential equations (Q2448693) (← links)
- Brownian Chen series and Atiyah-Singer theorem (Q2469823) (← links)
- A signed measure on rough paths associated to a PDE of high order: results and conjectures (Q2655934) (← links)
- An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables (Q2664765) (← links)
- Estimating the probability that a given vector is in the convex hull of a random sample (Q2689428) (← links)
- Recent advances in various fields of numerical probability (Q2786538) (← links)
- Cubature Methods and Applications (Q2847839) (← links)
- Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
- Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151) (← links)
- Remarks on Hilbert identities, isometric embeddings, and invariant cubature (Q2931155) (← links)
- Physical Brownian motion in a magnetic field as a rough path (Q2944921) (← links)
- The Inverse Problem for Rough Controlled Differential Equations (Q2945612) (← links)
- Gaussian K-scheme: justification for KLNV method (Q2957760) (← links)
- Jump-diffusions in Hilbert spaces: existence, stability and numerics (Q3080997) (← links)
- ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS (Q3174006) (← links)
- Optimal simulation schemes for Lévy driven stochastic differential equations (Q3189423) (← links)
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (Q3502205) (← links)
- Calculating the Greeks by cubature formulae (Q3503276) (← links)
- Some remarks on the numerical approximation of stochastic differential equations (Q3533907) (← links)
- A combinatorial method for calculating the moments of Lévy area (Q3542023) (← links)
- OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES (Q3548301) (← links)
- Cubature on Wiener space in infinite dimension (Q3560331) (← links)