Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
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A new numerical computation method for the expectation of diffusion processes based on iterations of linear operators is given. This procedure is an improvement of the results of the author [Adv. Stud. Pure Math. 31, 147--165 (2001; Zbl 1028.60052)]. For the entire collection see [Zbl 1030.00022].
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