Stochastic mesh methods for Hörmander type diffusion processes
DOI10.1007/978-4-431-54834-8_2zbMATH Open1349.91309OpenAlexW573682207MaRDI QIDQ5261859FDOQ5261859
Yusuke Morimoto, Shigeo Kusuoka
Publication date: 8 July 2015
Published in: Advances in Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-4-431-54834-8_2
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)
Cited In (5)
- Least Square Regression Methods for Bermudan Derivatives and Systems of Functions
- Method of sequential mesh on Koopman-Darmois distributions
- A Stochastic Domain Decomposition Method for Time Dependent Mesh Generation
- Implicit American Monte Carlo methods for nonlinear functional of future portfolio value
- A stochastic variational multiscale method for diffusion in heterogeneous random media
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