Application of semiclassical approximation to stochastic differential equations

DOI10.1515/MCMA-2024-2017MaRDI QIDQ6654636zbMATH OpenFDO

Authors Berdakh Nurjanov

Publication date 20 December 2024

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

Full work available at URL https://doi.org/10.1515/MCMA-2024-2017

zbMATH Keywords

classical trajectoryfunctional integralsemiclassical approximationstochastic differential equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• scientific article; zbMATH DE number 3156637 (Why is no real title available?)
• scientific article; zbMATH DE number 3796268 (Why is no real title available?)
• scientific article; zbMATH DE number 3283153 (Why is no real title available?)
• scientific article; zbMATH DE number 3282537 (Why is no real title available?)
• Semiclassical approximation of functional integrals containing the centrifugal potential
• The semiclassical approximation of multiple functional integrals

Cited in

(1)

• Combinatorics for calculating expectation values of functions in systems with evolution governed by stochastic differential equations

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