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

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

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Cited in

(11)

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

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