Cubature Methods and Applications

DOI10.1007/978-3-319-00413-6_4zbMath1273.65011MaRDI QIDQ2847839

Colm Nee, Konstantinos Manolarakis, Dan Crisan

Publication date: 11 September 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00413-6_4

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

91G20: Derivative securities (option pricing, hedging, etc.)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

60-04: Software, source code, etc. for problems pertaining to probability theory

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