Markov cubature rules for polynomial processes
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Publication:1986009
transition probabilitiesAmerican optionscubature ruleasymptotic momentspolynomial processtransition rate matrix
Numerical methods (including Monte Carlo methods) (91G60) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) General theory of stochastic processes (60G07)
Abstract: We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rules. The polynomial property allows us to study such rules using algebraic techniques. Markov cubature rules aid the tractability of path-dependent tasks such as American option pricing in models where the underlying factors are polynomial processes.
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Cites work
- scientific article; zbMATH DE number 3878095 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- A Diffusion Limit for Generalized Correlated Random Walks
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- A note on Tchakaloff’s Theorem
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- Cubature Kalman Filters
- Cubature methods for stochastic (partial) differential equations in weighted spaces
- Cubature on Wiener space
- Cubature on Wiener space in infinite dimension
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- Error estimates for binomial approximations of game options
- Polynomial diffusion models for life insurance liabilities
- Polynomial diffusions and applications in finance
- Polynomial jump-diffusion models
- Polynomial processes and their applications to mathematical finance
- Polynomial processes in stochastic portfolio theory
- Quantization goes polynomial
- Recombining tree approximations for optimal stopping for diffusions
- Second order discretization of backward SDEs and simulation with the cubature method
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- The Jacobi stochastic volatility model
- The adaptive patched cubature filter and its implementation
- The proof of Tchakaloff’s Theorem
Cited in
(6)- Markov processes and some PCF quadratic polynomials
- Abstract polynomial processes
- Polynomial processes and their applications to mathematical finance
- Cubature Method for Stochastic Volterra Integral Equations
- Quantization goes polynomial
- Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
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