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math.PR2020★ 8 cited
Monte Carlo construction of cubature on Wiener space
Satoshi Hayakawa, Ken'ichiro Tanaka
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 dif…
math.NA2020★ 7 cited
Monte Carlo Cubature Construction
Satoshi Hayakawa
In numerical integration, cubature methods are effective, especially when the integrands can be well-approximated by known test functions, such as polynomials. However, the constru…