Cubature on Wiener space in infinite dimension

DOI10.1098/RSPA.2008.0013zbMATH Open1186.60058arXiv0712.3763OpenAlexW2146707251MaRDI QIDQ3560331FDOQ3560331

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)

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.

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)

Cites Work

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

Cited In (8)

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

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