Salvador Ortiz-Latorre: High order weak approximation of SDEs
Salvador Ortiz-Latorre (University of Oslo) is giving his inaugural lecture with the title: High order weak approximation of SDEs
In this talk I will review some recent results on the weak approximation of stochastic differential equations (SDEs). I will focus on schemes with high order of convergence. In particular, I will present the so called cubature on Wiener space, which generalize the cubature approach to numerical integration from integrating polynomials on finite dimensional spaces to integrating SDEs on the infinite dimensional Wiener space. I will show how these methods can also be used to get high order schemes for SDEs driven by Lévy processes. Finally, if time permits, I will present some applications to the nonlinear stochastic filtering problem.