Cubature on Wiener space in infinite dimension

DOI10.1098/RSPA.2008.0013MaRDI QIDQ3560331zbMATH OpenOpenAlexFDO

Authors Christian Bayer, Josef Teichmann

Publication date 19 May 2010

Published in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.3763

zbMATH Keywords

stochastic partial differential equationscubature on Wiener spaceiterated itô-stratonovich integral

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical integration (65D30) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We prove a stochastic Taylor expansion for SPDEs and apply this result to obtain cubature methods, i. e. high order weak approximation schemes for SPDEs, in the spirit of T. Lyons and N. Victoir. We can prove a high-order weak convergence for well-defined classes of test functions if the process starts at sufficiently regular initial values. We can also derive analogous results in the presence of L'evy processes of finite type, here the results seem to be new even in finite dimension. Several numerical examples are added.

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Cites work

• Approximation for semilinear stochastic evolution equations
• Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
• Calculating the Greeks by cubature formulae
• Cubature on Wiener space
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• Hypoellipticity in infinite dimensions and an application in interest rate theory
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• The inverse function theorem of Nash and Moser

Cited in

(13)

• Wong-Zakai approximations with convergence rate for stochastic partial differential equations
• A mild Itô formula for SPDEs
• Cubature on Wiener space
• A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
• Markov cubature rules for polynomial processes
• Jump-diffusions in Hilbert spaces: existence, stability and numerics
• Cubature on Wiener space: pathwise convergence
• Introducing cubature to filtering
• High order recombination and an application to cubature on Wiener space
• On the error estimate for cubature on Wiener space
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Cubature methods for stochastic (partial) differential equations in weighted spaces

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