Seminar series
Date
Thu, 03 Nov 2011
13:00
13:00
Location
DH 1st floor SR
Speaker
Greg Gyurko
Cubature on Wiener space" is a numerical method for the weak
approximation of SDEs. After an introduction to this method we present
some cases when the method is computationally expensive, and highlight
some techniques that improve the tractability. In particular, we adapt
the Multilevel Monte-Carlo framework and extend the Milstein-scheme
based version of Mike Giles to higher dimensional and higher degree cases.