A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation

DOI10.1515/MCMA-2018-2024zbMATH Open1405.60107OpenAlexW2898914570MaRDI QIDQ1713860FDOQ1713860

Authors: Toshihiro Yamada, Kenta Yamamoto 

Publication date: 30 January 2019

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

Full work available at URL: https://doi.org/10.1515/mcma-2018-2024

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zbMATH Keywords

Markov chainstochastic differential equationsweak approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

Cited In (5)

• A third-order weak approximation of multidimensional Itô stochastic differential equations
• A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
• Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization

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