Related papers: On the error estimate for cubature on Wiener space

In this paper, we investigate application of mathematical optimization to construction of a cubature formula on Wiener space, which is a weak approximation method of stochastic differential equations introduced by Lyons and Victoir…

Building on techniques developed by Lyons and Victoir, we present the first explicit construction of a degree-7 cubature formula for Wiener space over $\mathbb{R}^3$. We then examine and compare two approaches for computing cubature…

Utilising classical results on the structure of Hopf algebras, we develop a novel approach for the construction of cubature formulae on Wiener space based on unshuffle expansions. We demonstrate the effectiveness of this approach by…

Cubature on Wiener space [Lyons, T.; Victoir, N.; Proc. R. Soc. Lond. A 8 January 2004 vol. 460 no. 2041 169-198] provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More…

We obtain an explicit error expansion for the solution of Backward Stochastic Differential Equations (BSDEs) using the cubature on Wiener spaces method. The result is proved under a mild strengthening of the assumptions needed for the…

We introduce a new type of cubature formula for the evaluation of an integral over the disk with respect to a weight function. The method is based on an analysis of the Fourier series of the weight function and a reduction of the bivariate…

Particle methods are widely used because they can provide accurate descriptions of evolving measures. Recently it has become clear that by stepping outside the Monte Carlo paradigm these methods can be of higher order with effective and…

The cubature on Wiener space method, a high-order weak approximation scheme, is established for SPDEs in the case of unbounded characteristics and unbounded payoffs. We first introduce a recently described flexible functional analytic…

Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for the estimation error and of a fixed, positive cost per unit…

This paper presents an algorithm for applying the high-order recombination method, originally introduced by Lyons and Litterer in ``High-order recombination and an application to cubature on Wiener space'' (Ann. Appl. Probab.…

In this paper, we introduce the cubature formula for Stochastic Volterra Integral Equations. We first derive the stochastic Taylor expansion in this setting, by utilizing a functional It\^{o} formula, and provide its tail estimates. We then…

We propose, analyze, and implement interpolatory approximations and Filon-type cubature for efficient and accurate evaluation of a class of wideband generalized Fourier integrals on the sphere. The analysis includes derivation of (i)…

We present two cubature on Wiener space algorithms for the numerical solution of McKean-Vlasov SDEs with smooth scalar interaction. The analysis hinges on sharp gradient to time-inhomogeneous parabolic PDEs bounds. These bounds may be of…

Bayesian cubature provides a flexible framework for numerical integration, in which a priori knowledge on the integrand can be encoded and exploited. This additional flexibility, compared to many classical cubature methods, comes at a…

With the use of tensor product of Hilbert space, and a diagonalization procedure from operator theory, we derive an approximation formula for a general class of stochastic integrals. Further we establish a generalized Fourier expansion for…

We prove a stochastic Taylor expansion for SPDEs and apply this result to obtain cubature methods, i. e. high order weak approximation schemes for SPDEs, in the spirit of T. Lyons and N. Victoir. We can prove a high-order weak convergence…

This contribution deals with an extension to our developed novel cubature methods of degrees 5 on Wiener space. In our previous studies, we have shown that the cubature formula is exact for all multiple Stratonovich integrals up to…

We describe an algorithm for controlling the relative error in the numerical evaluation of a bivariate integral, without prior knowledge of the magnitude of the integral. In the event that the magnitude of the integral is less than unity,…

The quadrature error associated with a regular quadrature rule for evaluation of a layer potential increases rapidly when the evaluation point approaches the surface and the integral becomes nearly singular. Error estimates are needed to…

Consensus algorithms are popular distributed algorithms for computing aggregate quantities, such as averages, in ad-hoc wireless networks. However, existing algorithms mostly address the case where the measurements lie in a Euclidean space.…