scientific article; zbMATH DE number 5052229

zbMATH Open1191.91058MaRDI QIDQ5486567FDOQ5486567

Syoiti Ninomiya, Shigeo Kusuoka

Publication date: 11 September 2006

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

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zbMATH Keywords

mathematical financeMonte Carlo methoNumerical methods in stochastic differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Portfolio theory (91G10) 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) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

Cited In (7)

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

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