High order weak approximation for irregular functionals of time-inhomogeneous SDEs
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Publication:2040466
Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Asymptotic expansion approach in finance
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- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 1014073 (Why is no real title available?)
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- The partial malliavin calculus and its application to non-linear filtering
Cited in
(9)- A weak approximation method for irregular functionals of hypoelliptic diffusions
- A higher order weak approximation of McKean-Vlasov type SDEs
- Weak approximation of SDEs for tempered distributions and applications
- A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
- A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
- An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
- Control variate method for deep BSDE solver using weak approximation
- Total variation bound for Milstein scheme without iterated integrals
- An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations
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