High order recombination and an application to cubature on Wiener space

DOI10.1214/11-AAP786zbMath1261.65011arXiv1008.4942MaRDI QIDQ453236

Terence J. Lyons, Christian Litterer

Publication date: 19 September 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.4942

zbMATH Keywords

algorithmstochastic differential equationnumerical examplesignatureparabolic equationrecombinationcubature methodfiltering problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items

Monte Carlo construction of cubature on Wiener space, Cubature Method for Stochastic Volterra Integral Equations, Total variation bound for Milstein scheme without iterated integrals, Derandomization of the Euler scheme for scalar stochastic differential equations, Estimating the probability that a given vector is in the convex hull of a random sample, 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, Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps, The Signature Kernel Is the Solution of a Goursat PDE, On The Error Estimate for Cubature on Wiener Space, On numerical density approximations of solutions of SDEs with unbounded coefficients, Cubature method to solve BSDEs: Error expansion and complexity control, Monte Carlo cubature construction, On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations, Cubature Methods and Applications, Unnamed Item, Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations, A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations, Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs

Cites Work

• Cubature on Wiener space
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• A Problem in Geometric Probability.
• A survey of convergence results on particle filtering methods for practitioners
• The proof of Tchakaloff’s Theorem
• A Construction of Nonnegative Approximate Quadratures
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item