A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
DOI10.1515/MCMA-2019-2053zbMATH Open1444.60047OpenAlexW2991223685MaRDI QIDQ2293285FDOQ2293285
Authors: Riu Naito, Toshihiro Yamada 
Publication date: 7 February 2020
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2019-2053
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Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- The Malliavin Calculus and Related Topics
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Large deviations and the Malliavin calculus
- Title not available (Why is that?)
- Error expansion for the discretization of backward stochastic differential equations
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights
- An asymptotic expansion with push-down of Malliavin weights
- The partial malliavin calculus and its application to non-linear filtering
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Second order discretization of backward SDEs and simulation with the cubature method
- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
- A third-order weak approximation of multidimensional Itô stochastic differential equations
- An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
- Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
Cited In (8)
- A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- Second order discretization of backward SDEs and simulation with the cubature method
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
- Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
- A second-order discretization for degenerate systems of stochastic differential equations
- Numerical methods for backward stochastic differential equations: a survey
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