scientific article; zbMATH DE number 1998237
From MaRDI portal
Publication:4432883
zbMath1031.60048MaRDI QIDQ4432883
Publication date: 20 February 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ A weak approximation with asymptotic expansion and multidimensional Malliavin weights ⋮ Monte Carlo construction of cubature on Wiener space ⋮ On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ Smoothing properties of McKean-Vlasov SDEs ⋮ Rough paths and PDEs. Abstracts from the workshop held August 19--25, 2012. ⋮ Asymptotic Expansion Approach in Finance ⋮ A signed measure on rough paths associated to a PDE of high order: results and conjectures ⋮ Implicit American Monte Carlo methods for nonlinear functional of future portfolio value ⋮ Gaussian K-scheme: justification for KLNV method ⋮ A new extrapolation method for weak approximation schemes with applications ⋮ Construction of a Third-Order K-Scheme and Its Application to Financial Models ⋮ Curvature dimension inequalities and subelliptic heat kernel gradient bounds on contact manifolds ⋮ High order recombination and an application to cubature on Wiener space ⋮ Second order discretization of backward SDEs and simulation with the cubature method ⋮ Spatial coagulation with bounded coagulation rate ⋮ An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions ⋮ Some Regularity Estimates for Diffusion Semigroups with Dirichlet Boundary Conditions ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Higher-order interpolated lattice schemes for multidimensional option pricing problems ⋮ Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ A weak approximation method for irregular functionals of hypoelliptic diffusions ⋮ Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Cubature Methods and Applications ⋮ Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme ⋮ Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs ⋮ A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
This page was built for publication:
