相关论文: High-degree cubature on Wiener space through unshu…

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…

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…

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…

It was pointed out in Crisan, Ghazali [2] that the error estimate for the cubature on Wiener space algorithm developed in Lyons, Victoir [11] requires an additional assumption on the drift. In this note we demonstrate that it is…

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…

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…

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 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 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…

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…

73 new cubature rules are found for three standard multidimensional integrals with spherically symmetric regions and weights, using direct search with a numerical zero-finder. All but four of the new rules have fewer integration points than…

Numerical integration formulas in $n$-dimensional Euclidean space of degree three are discussed. For the integrals with permutation symmetry we present a method to construct its third-degree integration formulas with $2n$ real points. We…

We construct cubature formulas on spheres supported by homothetic images of shells in some Euclidian lattices. Our analysis of these cubature formulas uses results from the theory of modular forms. Examples are worked out on the sphere of…

In this paper, a lower bound estimate on the uniform radius of spatial analyticity is established for solutions to the incompressible, forced Navier-Stokes system on an n-torus. This estimate improves or matches previously known estimates…

It is very well known that Hopf real hypersurfaces in the complex projective space can be locally characterized as tubes over complex submanifolds. This also holds true for some, but not all, Hopf real hypersurfaces in the complex…

We derive new formulas for the high dimensional biharmonic potential acting on Gaussians or Gaussians times special polynomials. These formulas can be used to construct accurate cubature formulas of an arbitrary high order which are fast…

We study cubature formulas for d-dimensional integrals with an arbitrary symmetric weight function of tensor product form. We present a construction that yields a high polynomial exactness: for fixed degree l=5 or l=7 and large dimension,…

We introduce a decoupling method on the Wiener space to define a wide class of an\-iso\-tro\-pic Besov spaces. The decoupling method is based on a general distributional approach and not restricted to the Wiener space. The class of Besov…

We consider finite-dimensional Hopf algebras $u$ which admit a smooth deformation $U\to u$ by a Noetherian Hopf algebra $U$ of finite global dimension. Examples of such Hopf algebras include small quantum groups over the complex numbers,…

The goal of the paper is to describe essentially optimal cubature formulas on compact Riemannian manifolds which are exact on spaces of band- limited functions.