Cubature Methods and Applications (Q2847839)

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Language	Label	Description	Also known as
English	Cubature Methods and Applications	scientific article

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scholarly article

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Cubature Methods and Applications (English)

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zbMATH Open document ID

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10.1007/978-3-319-00413-6_4

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Konstantinos Manolarakis

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Lecture Notes in Mathematics

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publication date

11 September 2013

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-319-00413-6_4

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Stochastic flows and Taylor series

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The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

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High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

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Numerical methods for strong solutions of stochastic differential equations: an overview

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Asymptotic expansion of stochastic flows

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An efficient approximation method for stochastic differential equations by means of the exponential Lie series

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations

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Minimal Entropy Approximations and Optimal Algorithms

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Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Backward Stochastic Differential Equations in Finance

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Error expansion for the discretization of backward stochastic differential equations

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Efficient and Practical Implementations of Cubature on Wiener Space

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Hypoelliptic second order differential equations

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A survey of numerical methods for stochastic differential equations

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Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

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High order recombination and an application to cubature on Wiener space

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Cubature on Wiener space

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Representation theorems for backward stochastic differential equations

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On the exponential solution of differential equations for a linear operator

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A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

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Weak Approximation of Solutions of Systems of Stochastic Differential Equations

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An asymptotically efficient difference formula for solving stochastic differential equations

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An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst

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A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method

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Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

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Martingale representation theorem for the \(G\)-expectation

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Diffusion processes with continuous coefficients, I

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On degenerate elliptic-parabolic operators of second order and their associated diffusions

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Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

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Expansion of the global error for numerical schemes solving stochastic differential equations

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A numerical scheme for BSDEs

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