scientific article; zbMATH DE number 5052229

MaRDI QIDQ5486567zbMATH OpenFDO

Authors Shigeo Kusuoka, Syoiti Ninomiya

Publication date 11 September 2006

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0011.html

zbMATH Keywords

mathematical financeMonte Carlo methoNumerical methods in stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cited in

(7)

• A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
• An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
• Cubature methods and applications
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
• Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method

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