Toshihiro Yamada

Available identifiers

zbMath Open yamada.toshihiroMaRDI QIDQ292907

List of research outcomes

Publication	Date of Publication	Type
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

Research outcomes over time

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