An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
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- Learning high-order weak approximation of SDEs by neural network with application to financial models
- A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
- High order weak approximation for irregular functionals of time-inhomogeneous SDEs
- A weak approximation method for irregular functionals of hypoelliptic diffusions
- Total variation bound for Milstein scheme without iterated integrals
- A higher order weak approximation of McKean-Vlasov type SDEs
- New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
- Weak approximation of SDEs for tempered distributions and applications
- Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels
- A second-order discretization for degenerate systems of stochastic differential equations
- Control variate method for deep BSDE solver using weak approximation
- A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations
- Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
- Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization
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