Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
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Publication:5029930
Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
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- scientific article; zbMATH DE number 1754702 (Why is no real title available?)
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
- An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
- Cubature methods and applications
- Cubature on Wiener space
- Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
- Efficient and Practical Implementations of Cubature on Wiener Space
- High order recombination and an application to cubature on Wiener space
- Lectures on stochastic differential equations and Malliavin calculus
- Minimal Entropy Approximations and Optimal Algorithms
- Rough paths based numerical algorithms in computational finance
- Second order discretization of backward SDEs and simulation with the cubature method
- Semi-closed form cubature and applications to financial diffusion models
- The Malliavin Calculus and Related Topics
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
Cited in
(5)- scientific article; zbMATH DE number 2059614 (Why is no real title available?)
- 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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