Cubature on Wiener space: pathwise convergence

DOI10.1007/s00245-012-9187-8zbMath1276.60069arXiv1304.4623OpenAlexW2106798317MaRDI QIDQ358624

Christian Bayer, Peter K. Friz

Publication date: 9 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.4623

zbMATH Keywords

cubaturerough pathspricing of path-dependent optionsweak approximation schemes for SDEs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Numerical integration (65D30)

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Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs ⋮ Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction

Cites Work

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