Efficient and Practical Implementations of Cubature on Wiener Space

DOI10.1007/978-3-642-15358-7_5zbMath1221.65009OpenAlexW39601454MaRDI QIDQ3015679

Lajos Gyurkó, Terence J. Lyons

Publication date: 13 July 2011

Published in: Stochastic Analysis 2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15358-7_5

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (24)

Monte Carlo construction of cubature on Wiener space ⋮ Weak Milstein scheme without commutativity condition and its error bound ⋮ Optimal simulation schemes for Lévy driven stochastic differential equations ⋮ Weak approximation of SDEs for tempered distributions and applications ⋮ Numerical approximation of singular forward-backward SDEs ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ Testing cubature formulae on Wiener space versus explicit pricing formulae ⋮ Construction of a Third-Order K-Scheme and Its Application to Financial Models ⋮ A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation ⋮ Second order discretization of backward SDEs and simulation with the cubature method ⋮ An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions ⋮ On the complexity of computing quadrature formulas for marginal distributions of SDEs ⋮ Cubature methods for stochastic (partial) differential equations in weighted spaces ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps ⋮ Higher-order interpolated lattice schemes for multidimensional option pricing problems ⋮ 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 ⋮ A weak approximation method for irregular functionals of hypoelliptic diffusions ⋮ Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis ⋮ Cubature Methods and Applications ⋮ A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations ⋮ Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs

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