| Publication | Date of Publication | Type |
|---|
| New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion | 2024-10-29 | Paper |
| A weak approximation for Bismut's formula: an algorithmic differentiation method | 2024-04-16 | Paper |
| Total variation bound for Milstein scheme without iterated integrals | 2023-09-18 | Paper |
| Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus | 2023-07-25 | Paper |
| Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations | 2023-07-21 | Paper |
| A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus | 2023-07-03 | Paper |
| New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion | 2023-06-23 | Paper |
| Numerical methods for backward stochastic differential equations: a survey | 2023-05-31 | Paper |
| Weak approximation of SDEs for tempered distributions and applications | 2022-08-18 | Paper |
| A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting | 2022-06-03 | Paper |
| A second-order discretization for degenerate systems of stochastic differential equations | 2022-05-17 | Paper |
| A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver | 2022-05-05 | Paper |
| A higher order weak approximation of McKean-Vlasov type SDEs | 2022-04-28 | Paper |
| Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs | 2022-02-15 | Paper |
| A weak approximation method for irregular functionals of hypoelliptic diffusions | 2021-12-09 | Paper |
| Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels | 2021-09-15 | Paper |
| A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing | 2021-09-03 | Paper |
| High order weak approximation for irregular functionals of time-inhomogeneous SDEs | 2021-07-14 | Paper |
| Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization | 2021-01-25 | Paper |
| A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver | 2021-01-24 | Paper |
| A machine learning solver for high-dimensional integrals: Solving Kolmogorov PDEs by stochastic weighted minimization and stochastic gradient descent through a high-order weak approximation scheme of SDEs with Malliavin weights | 2020-12-22 | Paper |
| A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus | 2020-02-07 | Paper |
| A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion | 2019-11-15 | Paper |
| Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis | 2019-08-12 | Paper |
| A third-order weak approximation of multidimensional Itô stochastic differential equations | 2019-08-02 | Paper |
| An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions | 2019-03-22 | Paper |
| An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model | 2019-03-15 | Paper |
| A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation | 2019-01-30 | Paper |
| An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach | 2018-12-03 | Paper |
| Weak Milstein scheme without commutativity condition and its error bound | 2018-06-06 | Paper |
| A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights | 2017-06-13 | Paper |
| A weak approximation with asymptotic expansion and multidimensional Malliavin weights | 2016-06-09 | Paper |
| A formula of small time expansion for Young SDE driven by fractional Brownian motion | 2015-11-23 | Paper |
| On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model | 2015-11-04 | Paper |
| A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus | 2015-10-20 | Paper |
| A semigroup expansion for pricing barrier options | 2014-10-20 | Paper |
| STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD | 2014-06-19 | Paper |
| An Asymptotic Expansion with Push-Down of Malliavin Weights | 2013-01-25 | Paper |
| Pricing discrete barrier options under stochastic volatility | 2013-01-07 | Paper |
