Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
DOI10.1137/21M1433915zbMATH Open1491.60116OpenAlexW4206698714MaRDI QIDQ5029930FDOQ5029930
Authors: Toshihiro Yamada 
Publication date: 15 February 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/21m1433915
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Cites Work
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- An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
- Second order discretization of backward SDEs and simulation with the cubature method
- Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
- Rough paths based numerical algorithms in computational finance
Cited In (5)
- Title not available (Why is that?)
- Total variation bound for Milstein scheme without iterated integrals
- Control variate method for deep BSDE solver using weak approximation
- 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
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