most citedCubature Methods For Stochastic (Partial) Differential Equations In Weighted Spaces

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math.NA2012

High order splitting schemes with complex timesteps and their application in mathematical finance

Philipp Doersek, Eskil Hansen

High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the settin…

math.NA2011

Semigroup Splitting And Cubature Approximations For The Stochastic Navier-Stokes Equations

Philipp Doersek

Approximation of the marginal distribution of the solution of the stochastic Navier-Stokes equations on the two-dimensional torus by high order numerical methods is considered. The…