Markov cubature rules for polynomial processes
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DOI: 10.1016/j.spa.2019.06.010
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Cited by:
- Qi Feng & Jianfeng Zhang, 2021. "Cubature Method for Stochastic Volterra Integral Equations," Papers 2110.12853, arXiv.org, revised Jul 2023.
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Keywords
Polynomial process; Cubature rule; Asymptotic moments; Transition rate matrix; Transition probabilities; American options;All these keywords.
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