On The Error Estimate for Cubature on Wiener Space
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Publication:5419406
DOI10.1017/S0013091513000485zbMath1298.65001arXiv1105.3996OpenAlexW2964130535MaRDI QIDQ5419406
Christian Litterer, Thomas Cass
Publication date: 6 June 2014
Published in: Proceedings of the Edinburgh Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.3996
Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
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- Stochastic flows and Taylor series
- Cubature on Wiener space
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
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