A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights

DOI10.1016/J.CAM.2017.03.001MaRDI QIDQ2357445zbMATH OpenOpenAlexFDO

Authors Toshihiro Yamada

Publication date 13 June 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2017.03.001

zbMATH Keywords

Malliavin calculusnumerical examplesoption pricingstochastic differential equationsweak approximation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(12)

• Weak Milstein scheme without commutativity condition and its error bound
• A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
• A higher order weak approximation of McKean-Vlasov type SDEs
• A third-order weak approximation of multidimensional Itô stochastic differential equations
• An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
• High weak order methods for stochastic differential equations based on modified equations
• A weak approximation with asymptotic expansion and multidimensional Malliavin weights
• Weak approximations. A Malliavin calculus approach
• An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
• An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations

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