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Efficient and Practical Implementations of Cubature on Wiener Space · Study

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ChapterEfficient and Practical Implementations of Cubature on Wiener Space

Lajos Gergely Gyurkó2010

Chapter2010

Efficient and Practical Implementations of Cubature on Wiener Space

Lajos Gergely Gyurkó · Terry Lyons

38 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Numerical methods for differential equations Mathematical Approximation and Integration

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2016Numerical solution of stochastic differential equations 1983Stochastic Differential Equations and Diffusion Processes 1998Differential equations driven by rough signals 1988Introduction to stochastic differential equations 2002System Control and Rough Paths 2007Differential Equations Driven by Rough Paths 1985Applications of the Malliavin calculus. II 2007Differential Equations Driven by Rough Paths

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2015A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations

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2009A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta methodarticle · 6 shared references 2003An Introduction to Rough Pathschapter · 5 shared references 2013Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough pathsarticle · 5 shared references 2009Partial differential equations driven by rough pathsarticle · 5 shared references n.d.A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"preprint · 5 shared references 2008Differential Equations Driven by Rough Paths: An Approach via Discrete Approximationarticle · 4 shared references

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Year2010

Typechapter

Published2010-10-27

VenueSpringer eBooks

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-15358-7_5

openalex_workW39601454

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