| Publication | Date of Publication | Type |
|---|
Asymptotic expansion and weak approximation. Applications of Malliavin calculus and deep learning
SpringerBriefs in Statistics | 2025-07-21 | Paper |
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Asymptotic Analysis | 2024-10-29 | Paper |
A weak approximation for Bismut's formula: an algorithmic differentiation method
Mathematics and Computers in Simulation | 2024-04-16 | Paper |
Total variation bound for Milstein scheme without iterated integrals
Monte Carlo Methods and Applications | 2023-09-18 | Paper |
Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
SN Partial Differential Equations and Applications | 2023-07-25 | Paper |
Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations
International Journal of Computational Methods | 2023-07-21 | Paper |
A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
Applied Numerical Mathematics | 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
Probability Surveys | 2023-05-31 | Paper |
Numerical methods for backward stochastic differential equations: a survey
Probability Surveys | 2023-05-31 | Paper |
Weak approximation of SDEs for tempered distributions and applications
Advances in Computational Mathematics | 2022-08-18 | Paper |
A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
Monte Carlo Methods and Applications | 2022-06-03 | Paper |
A second-order discretization for degenerate systems of stochastic differential equations
IMA Journal of Numerical Analysis | 2022-05-17 | Paper |
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
Journal of Computational Physics | 2022-05-05 | Paper |
A higher order weak approximation of McKean-Vlasov type SDEs
BIT | 2022-04-28 | Paper |
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
SIAM Journal on Financial Mathematics | 2022-02-15 | Paper |
A weak approximation method for irregular functionals of hypoelliptic diffusions
Applied Numerical Mathematics | 2021-12-09 | Paper |
Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels
ESAIM: Mathematical Modelling and Numerical Analysis | 2021-09-15 | Paper |
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Quantitative Finance | 2021-09-03 | Paper |
High order weak approximation for irregular functionals of time-inhomogeneous SDEs
Monte Carlo Methods and Applications | 2021-07-14 | Paper |
Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization
Numerical Algorithms | 2021-01-25 | Paper |
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver
(available as arXiv preprint) | 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
Monte Carlo Methods and Applications | 2020-02-07 | Paper |
A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
Monte Carlo Methods and Applications | 2019-11-15 | Paper |
Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
SIAM/ASA Journal on Uncertainty Quantification | 2019-08-12 | Paper |
A third-order weak approximation of multidimensional Itô stochastic differential equations
Monte Carlo Methods and Applications | 2019-08-02 | Paper |
An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
SIAM Journal on Numerical Analysis | 2019-03-22 | Paper |
An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
JSIAM Letters | 2019-03-15 | Paper |
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
Monte Carlo Methods and Applications | 2019-01-30 | Paper |
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
Weak Milstein scheme without commutativity condition and its error bound
Applied Numerical Mathematics | 2018-06-06 | Paper |
A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
Journal of Computational and Applied Mathematics | 2017-06-13 | Paper |
A weak approximation with asymptotic expansion and multidimensional Malliavin weights
The Annals of Applied Probability | 2016-06-09 | Paper |
A weak approximation with asymptotic expansion and multidimensional Malliavin weights
The Annals of Applied Probability | 2016-06-09 | Paper |
A formula of small time expansion for Young SDE driven by fractional Brownian motion
Statistics & Probability Letters | 2015-11-23 | Paper |
On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
Mathematics of Operations Research | 2015-11-04 | Paper |
A small noise asymptotic expansion for Young SDE driven by fractional Brownian motion: a sharp error estimate with Malliavin calculus
Stochastic Analysis and Applications | 2015-10-20 | Paper |
A semigroup expansion for pricing barrier options
International Journal of Stochastic Analysis | 2014-10-20 | Paper |
Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method
International Journal of Theoretical and Applied Finance | 2014-06-19 | Paper |
An asymptotic expansion with push-down of Malliavin weights
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Pricing discrete barrier options under stochastic volatility
Asia-Pacific Financial Markets | 2013-01-07 | Paper |
