In this thesis we study a variant of the quadrature problem for stochastic differential
equations (SDEs), namely the approximation of expectations\(\mathrm {E}(f (X))\) …

In recent work of Hairer, Hutzenthaler and Jentzen, see [9], a stochastic differential equation
(SDE) with infinitely often differentiable and bounded coefficients was constructed such that …

In recent work of Hairer, Hutzenthaler and Jentzen,, a stochastic differential equation (SDE)
with infinitely differentiable andbounded coefficients was constructed such that the Monte …

We study the problem of approximating the distribution of the solution of a d-dimensional
system of stochastic differential equations (SDEs) at a single time point by a probability …

We study the approximation of expectations E (f (X)) for solutions X of SDEs and functionals
f: C ([0, 1], R r)→ R by means of restricted Monte Carlo algorithms that may only use random …

Consider a scalar stochastic differential equation with solution process X. We present a
deterministic algorithm to approximate the marginal distribution of X at t= 1 by a discrete …

We survey recent results on the constructive approximation of the distribution of the solution
of an SDE by probability measures with finite support, ie, by quadrature formulas with …

We survey recent results on the constructive approximation of the distribution of the solution
of a stochastic differential equation (SDE) by probability measures with finite support, ie, by …

We study the problem of approximating the expected value\mathbb E f (X (1)) E f (X (1)) of a
function f of the solution X of ad-dimensional system of stochastic differential equations …

This PhD thesis work studies the weak numerical solution of stochastic differential equations
(SDEs) with multiplicative noise and systems of forward-backward SDEs (FBSDEs), in a …