Cubature methods for stochastic (partial) differential equations in weighted spaces

DOI10.1007/s40072-013-0020-4zbMath1315.60075arXiv1201.4024OpenAlexW2087687835MaRDI QIDQ483627

Josef Teichmann, Dejan Velušček, Philipp Dörsek

Publication date: 17 December 2014

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.4024

zbMATH Keywords

stochastic partial differential equationsWiener spacecubature methodshigher order weak approximation scheme

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Applications of functional analysis in probability theory and statistics (46N30) Stochastic particle methods (65C35)

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Uses Software

• sobol.cc

Cites Work

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