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1 juin 2013
- handle: 10670/1.d1wfq3
- isbn: 978-3-0348-0630-5
- hal: hal-00660875
- doi: 10.1007/978-3-0348-0631-2_9
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info:eu-repo/semantics/altIdentifier/doi/10.1007/978-3-0348-0631-2_9
info:eu-repo/semantics/OpenAccess
Mots-clés
Cubature Formulae Stochastic Analysis Chen Series cubature on in nite dimensional space Cubature Wiener 60H35, 65D32, 91G60; 65C30, 65C05 -fin]/Computational Finance [q-fin.CP]Sujets proches
Funds Funding Formulas, Cubature Finance, commerce, confiscations, etcCiter ce document
Gabriel Turinici, « Cubature on C^1 space », HAL-SHS : économie et finance, ID : 10.1007/978-3-0348-0631-2_9
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Résumé
We explore in this paper cubature formulas over the space of functions having a first continuous derivative, i.e., C^1. We show that known cubature formulas are not optimal in this case and explain what is the origin of the loss of optimality and how to construct optimal ones; to illustrate we give cubature formulas up to (including) order 9.