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

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)

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

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