Imperial College London
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ProfessorDanCrisan

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8489d.crisan Website

 
 
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Location

 

670Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Crisan:2013:10.1007/978-3-319-00413-6_4,
author = {Crisan, D and Manolarakis, K and Nee, C},
doi = {10.1007/978-3-319-00413-6_4},
journal = {Lecture Notes in Mathematics},
pages = {203--316},
title = {Cubature methods and applications},
url = {http://dx.doi.org/10.1007/978-3-319-00413-6_4},
volume = {2081},
year = {2013}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We present an introduction to a new class of numerical methods for approximating distributions of solutions of stochastic differential equations. The convergence results for these methods are based on certain sharp gradient bounds established by Kusuoka and Stroock under non-Hörmader constraints on diffusion semigroups. These bounds and some other subsequent refinements are covered in these lectures. In addition to the description of the new class of methods and the corresponding convergence results, we include an application of these methods to the numerical solution of backward stochastic differential equations. As it is well-known, backward stochastic differential equations play a central role in pricing financial derivatives. © Springer International Publishing Switzerland 2013.
AU  - Crisan,D
AU  - Manolarakis,K
AU  - Nee,C
DO  - 10.1007/978-3-319-00413-6_4
EP  - 316
PY  - 2013///
SN  - 0075-8434
SP  - 203
TI  - Cubature methods and applications
T2  - Lecture Notes in Mathematics
UR  - http://dx.doi.org/10.1007/978-3-319-00413-6_4
VL  - 2081
ER  -
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