Christian Bayer: Splitting and cubature schemes for stochastic differential equations

Weak approximation of SDEs is one of the most important topics numerical topics of mathematical finance.High order numerical schemes can be constructed by the Kusuoka-Lyons-Victoir method.
We give an overview of some variants of this approach, mostly the Ninomiya-Victoir method, which has two distinct interpretations as a cubature method on Wiener space and as a stochastic splitting method.
We also present some numerical examples.