Cubature on Wiener Space

01.05.2004 - 30.04.2007
Research funding project
Our aim in this research project is to point out several open problems for future research starting from a seminal work by T. Lyons and N. Victoir. There are two main focusses: on the one hand we want to relate cubature formulas on Wiener space to the literature on parabolic initial value problems with sum of the squares generators, i.e. understand how cubature formulas can be characterized by other points of view. On the other hand we are interested to compare the methodology of cubature formulas with respect to standard numerical methods for solving parabolic partial differential equations.

People

Project leader

Institute

Grant funds

  • FWF - Österr. Wissenschaftsfonds (National) Austrian Science Fund (FWF)

Research focus

  • Mathematical and Algorithmic Foundations: 100%

Keywords

GermanEnglish
Kubatur auf dem Wiener-Raumcubature on Wiener space
Stochastische Differentialgleichungenstochastic differential equations

Publications