A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion

DOI10.1515/MCMA-2019-2044MaRDI QIDQ2335720zbMATHOpenAlexWikidataFDO

Authors Yusuke Okano, Toshihiro Yamada

Publication date 15 November 2019

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

Full work available at URL https://doi.org/10.1515/mcma-2019-2044

zbMATH Keywords

asymptotic expansionMonte Carlo simulationstochastic differential equation

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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Cited in

(7)

• A Control Variate Approach Based on a Defect-Type Theory for Variance Reduction in Stochastic Homogenization
• A weak approximation with asymptotic expansion and multidimensional Malliavin weights
• Computational Science - ICCS 2004
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
• Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
• A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

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