Cubature methods and applications
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Software, source code, etc. for problems pertaining to probability theory (60-04) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20)
Recommendations
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing
- Semi-closed form cubature and applications to financial diffusion models
- Introducing cubature to filtering
- Cubature on Wiener space
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
- A numerical scheme for BSDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A survey of numerical methods for stochastic differential equations
- An asymptotically efficient difference formula for solving stochastic differential equations
- An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst
- An efficient approximation method for stochastic differential equations by means of the exponential Lie series
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
- Asymptotic expansion of stochastic flows
- Backward Stochastic Differential Equations in Finance
- Cubature on Wiener space
- Diffusion processes with continuous coefficients, I
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
- Efficient and Practical Implementations of Cubature on Wiener Space
- Error expansion for the discretization of backward stochastic differential equations
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Fractional Brownian motion: stochastic calculus and applications
- High order recombination and an application to cubature on Wiener space
- High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
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- Hypoelliptic second order differential equations
- Martingale representation theorem for the \(G\)-expectation
- Minimal Entropy Approximations and Optimal Algorithms
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- Numerical methods for strong solutions of stochastic differential equations: an overview
- On degenerate elliptic-parabolic operators of second order and their associated diffusions
- On the convergence rates of a general class of weak approximations of SDEs
- On the exponential solution of differential equations for a linear operator
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Representation theorems for backward stochastic differential equations
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Stochastic flows and Taylor series
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- Weak Approximation of Solutions of Systems of Stochastic Differential Equations
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
Cited in
(25)- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
- Smoothing properties of McKean-Vlasov SDEs
- A moment matrix approach to multivariable cubature
- Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
- Schemes for cubature over the unit disk found via numerical optimization
- Kusuoka-Stroock gradient bounds for the solution of the filtering equation
- A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
- Markov semigroups with hypocoercive-type generator in infinite dimensions: ergodicity and smoothing
- Cubature rules based on a bivariate degree-graded alternative orthogonal basis and their applications
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights
- On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
- Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
- scientific article; zbMATH DE number 67127 (Why is no real title available?)
- Solving multivariable mathematical models by the quadrature and cubature methods
- Long- and short-time behaviour of hypocoercive-type operators in infinite dimensions: An analytic approach
- An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
- Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing
- A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
- Cubature method to solve BSDEs: Error expansion and complexity control
- Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
- Semi-closed form cubature and applications to financial diffusion models
- On the error estimate for cubature on Wiener space
- Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups
- Total variation bound for Milstein scheme without iterated integrals
- Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
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