An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
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Publication:4629328
DOI10.1137/17M114412XzbMATH Open1418.60050WikidataQ128193609 ScholiaQ128193609MaRDI QIDQ4629328FDOQ4629328
Authors: Toshihiro Yamada 
Publication date: 22 March 2019
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
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Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Sensitivity, stability, parametric optimization (90C31) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (19)
- Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing
- Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels
- A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
- A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
- A third-order weak approximation of multidimensional Itô stochastic differential equations
- A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
- Total variation bound for Milstein scheme without iterated integrals
- High order weak approximation for irregular functionals of time-inhomogeneous SDEs
- A weak approximation method for irregular functionals of hypoelliptic diffusions
- New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
- A higher order weak approximation of McKean-Vlasov type SDEs
- Weak approximation of SDEs for tempered distributions and applications
- 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
- Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization
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