Cubature on Wiener Space Continued

Christian Litterer and Terry Lyons
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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

Chapter 12 in Stochastic Processes and Applications to Mathematical Finance, 2007, pp 197-217 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractHigher 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].

Keywords: Stochastic Calculus; Mathematical Finance; Insider Trading; Stochastic Control; Real Options; Filtering Model of Credit Risks; Stochastic Growth Models (search for similar items in EconPapers)
Date: 2007
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