scientific article; zbMATH DE number 1754702
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Publication:4535130
Malliavin calculusnumerical approximationspartial differential equationsstochastic differential equationsstochastic Taylor expansion
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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