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Cubature methods and applications

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Multi angle
Authors : Crisan, Dan (Author of the conference)
CIRM (Publisher )

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Abstract : The talk will have two parts: In the first part, I will go over some of the basic feature of cubature methods for approximating solutions of classical SDEs and how they can be adapted to solve Backward SDEs. In the second part, I will introduce some recent results on the use of cubature method for approximating solutions of McKean-Vlasov SDEs.

MSC Codes :
34F05 - ODE with randomness
60H10 - Stochastic ordinary differential equations
60H35 - Computational methods for stochastic equations
65C30 - Stochastic differential and integral equations
91G60 - Numerical methods in mathematical finance

Additional resources :
http://smai.emath.fr/cemracs/cemracs17/Slides/crisan.pdf

    Information on the Video

    Film maker : Hennenfent, Guillaume
    Language : English
    Available date : 26/07/17
    Conference Date : 18/07/17
    Subseries : Research School
    arXiv category : Probability ; Numerical Analysis
    Mathematical Area(s) : Numerical Analysis & Scientific Computing ; Probability & Statistics ; Dynamical Systems & ODE
    Format : MP4 (.mp4) - HD
    Video Time : 01:51:23
    Targeted Audience : Researchers ; Graduate Students
    Download : https://videos.cirm-math.fr/2017-07-18_Crisan.mp4

Information on the Event

Event Title : CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyen
Event Organizers : Bouchard, Bruno ; Chassagneux, Jean-François ; Delarue, François ; Gobet, Emmanuel ; Lelong, Jérôme
Dates : 17/07/17 - 25/08/17
Event Year : 2017
Event URL : http://conferences.cirm-math.fr/1556.html

Citation Data

DOI : 10.24350/CIRM.V.19198503
Cite this video as: Crisan, Dan (2017). Cubature methods and applications. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19198503
URI : http://dx.doi.org/10.24350/CIRM.V.19198503

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