IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812770448_0012.html
   My bibliography  Save this book chapter

Cubature on Wiener Space Continued

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Christian Litterer

    (Mathematical Institute, University of Oxford, 24-29 St Giles', Oxford, OX1 3LB, UK)

  • Terry Lyons

    (Mathematical Institute, University of Oxford, 24-29 St Giles', Oxford, OX1 3LB, UK)

Abstract

Higher order particle methods can provide an accurate description of an evolving family of measures, but frequently the number of particles used in the description explodes as we iterate. In this paper we present a general method to simplify the support of the intermediate measures used in the iteration without increasing the error in the particle approximation by more than a constant factor. We describe two algorithms that can be used to simplify the support of a discrete measure and give an application to the cubature on Wiener space method developed by Lyons, Victoir [13].

Suggested Citation

  • Christian Litterer & Terry Lyons, 2007. "Cubature on Wiener Space Continued," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 12, pages 197-217, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812770448_0012
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812770448_0012
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812770448_0012
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christian Bayer & Peter K. Friz, 2013. "Cubature on Wiener space: pathwise convergence," Papers 1304.4623, arXiv.org.
    2. Qi Feng & Jianfeng Zhang, 2021. "Cubature Method for Stochastic Volterra Integral Equations," Papers 2110.12853, arXiv.org, revised Jul 2023.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812770448_0012. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.