CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyen

Collection CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyen

Organizer(s) Bouchard, Bruno ; Chassagneux, Jean-François ; Delarue, François ; Gobet, Emmanuel ; Lelong, Jérôme

Date(s) 17/07/2017 - 25/08/2017

linked URL http://conferences.cirm-math.fr/1556.html

00:00:00 / 00:00:00

6 31

Cubature methods and applications

Also appears in collection : Ecoles de recherche

The talk will have two parts: In the first part, I will go over some of the basic feature of cubature methods for approximating solutions of classical SDEs and how they can be adapted to solve Backward SDEs. In the second part, I will introduce some recent results on the use of cubature method for approximating solutions of McKean-Vlasov SDEs.

Information about the video

Date of recording 18/07/2017
Date of publication 26/07/2017
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers, Graduate Students
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19198503
Cite this video Crisan, Dan (18/07/2017). Cubature methods and applications. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19198503
URL https://dx.doi.org/10.24350/CIRM.V.19198503

Domain(s)

MSC codes

Document(s)

http://smai.emath.fr/cemracs/cemracs17/Slides/crisan.pdf

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