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

DOI10.1515/MCMA-2018-2024MaRDI QIDQ1713860zbMATH OpenOpenAlexFDO

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

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)

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• Weak Milstein scheme without commutativity condition and its error bound

Cited in

(5)

• 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
• A third-order weak approximation of multidimensional Itô stochastic differential equations
• Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization

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