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Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Ninomiya–Victoir method cubature method Monte Carlo simulation
2010/12/16
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka [Adv. Math. Econ. 6, 69–83, 2004] and Lyons–Victoir [Proc. R. Soc.Lond. Ser.
Convex functions whose epigraphs are semi-closed: Duality theory
Duality semi-closed conjugate function
2010/9/15
A classical duality formula in general Banach spaces, usually established for a convex proper lower semicontinuous perturbation under one of the familiar Rockafellar, Robinson, Attouch-Br´ezis c...