title:
Computing Quadrature Formulas for Marginal Distributions of SDEs 
name:
Yaroslavtseva 
first name:
Larisa

location/conference:
SPPJT12

PRESENTATIONlink:
http://www.dfgspp1324.de/nuhagtools/event_NEW/dateien/SPPJT12/talks/Yaroslavtsevajt12.pdf 
abstract:
We consider the problem of approximating the marginal distribution of the solution of a stochastic differential equation (SDE) by probability measures with finite support. We study deterministic algorithms in a worst case analysis with respect to classes of SDEs, which are defined in terms of smoothness constraints for the coefficients of the equation.
The cost of a single approximation is given by the total
computational effort to compute the corresponding nodes and weights. For the definition of the error of a single approximation we consider the resulting quadrature rule and employ its worst case quadrature error over a class of test functions.
We present and discuss sharp asymptotic bounds on the respective Nth minimal errors. 