A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation

DOI10.1515/mcma-2018-2024zbMath1405.60107OpenAlexW2898914570MaRDI QIDQ1713860

Kenta Yamamoto, Toshihiro Yamada

Publication date: 30 January 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2018-2024

zbMATH Keywords

stochastic differential equationsMarkov chainweak approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization ⋮ A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus ⋮ A third-order weak approximation of multidimensional Itô stochastic differential equations ⋮ A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion

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