An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions
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Publication:4629328
DOI10.1137/17M114412XzbMath1418.60050WikidataQ128193609 ScholiaQ128193609MaRDI QIDQ4629328
Publication date: 22 March 2019
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
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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