The following pages link to Cubature on Wiener space (Q3043430):
Displayed 28 items.
- Algebraic structure of vector fields in financial diffusion models and its applications (Q4555127) (← links)
- Construction of a Third-Order K-Scheme and Its Application to Financial Models (Q4607056) (← links)
- An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions (Q4629328) (← links)
- Probabilistic methods for semilinear partial differential equations. Applications to finance (Q4933356) (← links)
- A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing (Q4957242) (← links)
- Cubature method to solve BSDEs: Error expansion and complexity control (Q4960079) (← links)
- The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence (Q4996913) (← links)
- Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
- Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs (Q5029930) (← links)
- An Optimal Polynomial Approximation of Brownian Motion (Q5110549) (← links)
- An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians (Q5208749) (← links)
- Tail asymptotics of the Brownian signature (Q5222748) (← links)
- Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis (Q5228352) (← links)
- Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
- Algebraic structures and stochastic differential equations driven by Lévy processes (Q5243621) (← links)
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (Q5256556) (← links)
- Semi-closed form cubature and applications to financial diffusion models (Q5397417) (← links)
- On The Error Estimate for Cubature on Wiener Space (Q5419406) (← links)
- Efficient Second-order Weak Scheme for Stochastic Volatility Models (Q5746534) (← links)
- Unified signature cumulants and generalized Magnus expansions (Q5866307) (← links)
- Signature-Based Models: Theory and Calibration (Q6048449) (← links)
- Cubature Method for Stochastic Volterra Integral Equations (Q6070668) (← links)
- Total variation bound for Milstein scheme without iterated integrals (Q6073726) (← links)
- An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations (Q6080380) (← links)
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
- Weighted signature kernels (Q6126115) (← links)
- Testing cubature formulae on Wiener space versus explicit pricing formulae (Q6153215) (← links)
- High Order Splitting Methods for SDEs Satisfying a Commutativity Condition (Q6190295) (← links)