An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions

DOI10.1137/17M114412XzbMath1418.60050WikidataQ128193609 ScholiaQ128193609MaRDI QIDQ4629328

Toshihiro Yamada

Publication date: 22 March 2019

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusstochastic differential equationsMonte Carlo simulationweak approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Sensitivity, stability, parametric optimization (90C31) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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