Cubature on Wiener space: pathwise convergence (Q358624)

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Cubature on Wiener space: pathwise convergence
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    Statements

    title
    Cubature on Wiener space: pathwise convergence (English)
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    author
    Christian Bayer
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    Peter K. Friz
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    publication date
    9 August 2013
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    zbMATH Keywords
    cubature
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    rough paths
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    weak approximation schemes for SDEs
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    pricing of path-dependent options
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    Identifiers

    Mathematics Subject Classification ID
    60H30
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    65D30
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    91G80
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    zbMATH DE Number
    6196988
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    OpenAlex ID
    W2106798317
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    arXiv ID
    1304.4623
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