Cubature on C 1 Space

DOI10.1007/978-3-0348-0631-2_9zbMath1275.65017MaRDI QIDQ2849379

Gabriel Turinici

Publication date: 17 September 2013

Published in: Control and Optimization with PDE Constraints (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0631-2_9

zbMATH Keywords

numerical examples; cubature formulas; Chen series; stochastic analysis; Chen signature; cubature finance; cubature on infinite-dimensional space; cubature Wiener

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

41A63: Multidimensional problems

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

65C30: Numerical solutions to stochastic differential and integral equations

41A55: Approximate quadratures

65D32: Numerical quadrature and cubature formulas