An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions (Q4629328): Difference between revisions

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scientific article; zbMATH DE number 7040529

Language	Label	Description	Also known as
English	An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions	scientific article; zbMATH DE number 7040529

Statements

instance of

scholarly article

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title

An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions (English)

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author

Toshihiro Yamada

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published in

SIAM Journal on Numerical Analysis

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publication date

22 March 2019

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zbMATH Keywords

stochastic differential equations

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weak approximation

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Malliavin calculus

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Monte Carlo simulation

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MaRDI profile type

MaRDI publication profile

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cites work

On irregular functionals of SDEs and the Euler scheme

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The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

0 references

Semi-closed form cubature and applications to financial diffusion models

0 references

Cubature Methods and Applications

0 references

On the Acceleration of the Multi-Level Monte Carlo Method

0 references

A course on rough paths. With an introduction to regularity structures

0 references

Multilevel Monte Carlo Path Simulation

0 references

Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff

0 references

Q4433608

0 references

Efficient and Practical Implementations of Cubature on Wiener Space

0 references

0 references

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0 references

0 references

0 references

Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

0 references

Q3336457

0 references

Q3684932

0 references

Q3771355

0 references

High order recombination and an application to cubature on Wiener space

0 references

Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.

0 references

Cubature on Wiener space

0 references

Q4337939

0 references

Stochastic calculus of variations in mathematical finance.

0 references

Continuous Markov processes and stochastic equations

0 references

Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

0 references

The Malliavin Calculus and Related Topics

0 references

Asymptotic Expansion Approach in Finance

0 references

An Asymptotic Expansion with Push-Down of Malliavin Weights

0 references

A weak approximation with asymptotic expansion and multidimensional Malliavin weights

0 references

Q3331110

0 references

Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels

0 references

A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights

0 references

A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

0 references

Identifiers

zbMATH Open document ID

1418.60050

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DOI

10.1137/17M114412X

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4629328

@@ Property / cites work @@
+On irregular functionals of SDEs and the Euler scheme
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+Semi-closed form cubature and applications to financial diffusion models
+Normal rank
@@ Property / cites work @@
+Cubature Methods and Applications
@@ Property / cites work: Cubature Methods and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+On the Acceleration of the Multi-Level Monte Carlo Method
+Normal rank
@@ Property / cites work @@
+A course on rough paths. With an introduction to regularity structures
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient and Practical Implementations of Cubature on Wiener Space
+Normal rank
@@ Property / cites work @@
+Q3581636
@@ Property / cites work: Q3581636 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
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@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4535130
@@ Property / cites work: Q4535130 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4432883
@@ Property / cites work: Q4432883 / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Q3336457
@@ Property / cites work: Q3336457 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3684932
@@ Property / cites work: Q3684932 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771355
@@ Property / cites work: Q3771355 / rank @@
+Normal rank
@@ Property / cites work @@
+High order recombination and an application to cubature on Wiener space
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
+Normal rank
@@ Property / cites work @@
+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
+Normal rank
@@ Property / cites work @@
+Q4337939
@@ Property / cites work: Q4337939 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus of variations in mathematical finance.
+Normal rank
@@ Property / cites work @@
+Continuous Markov processes and stochastic equations
+Normal rank
@@ Property / cites work @@
+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Expansion Approach in Finance
@@ Property / cites work: Asymptotic Expansion Approach in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+An Asymptotic Expansion with Push-Down of Malliavin Weights
+Normal rank
@@ Property / cites work @@
+A weak approximation with asymptotic expansion and multidimensional Malliavin weights
+Normal rank
@@ Property / cites work @@
+Q3331110
@@ Property / cites work: Q3331110 / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
+Normal rank
@@ Property / cites work @@
+A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
+Normal rank
@@ Property / cites work @@
+A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
+Normal rank
@@ Property / Wikidata QID @@
+Q128193609
@@ Property / Wikidata QID: Q128193609 / rank @@
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