Monte Carlo construction of cubature on Wiener space

Abstract

In this paper, we investigate application of mathematical optimization to construction of a cubature formula on Wiener space, which is a weak approximation method of stochastic differential equations introduced by Lyons and Victoir (Cubature on Wiener Space, Proc. R. Soc. Lond. A 460, 169--198). After giving a brief review of the cubature theory on Wiener space, we show that a cubature formula of general dimension and degree can be obtained through a Monte Carlo sampling and linear programming. This paper also includes an extension of stochastic Tchakaloff's theorem, which technically yields the proof of our primary result.

25 pages

Cited by in corpus (2)

• Estimating the probability that a given vector is in the convex hull of a random sample
• Hypercontractivity Meets Random Convex Hulls: Analysis of Randomized Multivariate Cubatures