Cubature Methods and Applications
DOI10.1007/978-3-319-00413-6_4zbMath1273.65011MaRDI QIDQ2847839
Dan Crisan, Konstantinos Manolarakis, Colm Nee
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
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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