Pages that link to "Item:Q5692192"

The following pages link to Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus (Q5692192):

Displaying 47 items.

• A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Q292908) (← links)
• Cubature on Wiener space: pathwise convergence (Q358624) (← links)
• Derandomization of the Euler scheme for scalar stochastic differential equations (Q413464) (← links)
• A new extrapolation method for weak approximation schemes with applications (Q433903) (← links)
• On the complexity of computing quadrature formulas for marginal distributions of SDEs (Q479002) (← links)
• Cubature methods for stochastic (partial) differential equations in weighted spaces (Q483627) (← links)
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes (Q515534) (← links)
• Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps (Q515988) (← links)
• On effective computation of expectations in large or infinite dimension (Q917260) (← links)
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method (Q964684) (← links)
• Variance reduction for discretised diffusions via regression (Q1674395) (← links)
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
• A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation (Q1713860) (← links)
• Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
• An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space (Q2013298) (← links)
• A weak approximation method for irregular functionals of hypoelliptic diffusions (Q2057274) (← links)
• Monte Carlo construction of cubature on Wiener space (Q2135546) (← links)
• Weak approximation of SDEs for tempered distributions and applications (Q2165018) (← links)
• Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization (Q2220742) (← links)
• Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
• A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights (Q2357445) (← links)
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
• A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting (Q2671515) (← links)
• Recent advances in various fields of numerical probability (Q2786538) (← links)
• Cubature Methods and Applications (Q2847839) (← links)
• Asymptotics beats Monte Carlo: the case of correlated local vol baskets (Q2922151) (← links)
• Gaussian K-scheme: justification for KLNV method (Q2957760) (← links)
• Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model (Q3091998) (← links)
• Cubature on Wiener space in infinite dimension (Q3560331) (← links)
• Algebraic structure of vector fields in financial diffusion models and its applications (Q4555127) (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) (← links)
• Construction of a Third-Order K-Scheme and Its Application to Financial Models (Q4607056) (← links)
• An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions (Q4629328) (← links)
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing (Q4957242) (← links)
• Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs (Q5029930) (← links)
• Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis (Q5228352) (← links)
• Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (Q5256556) (← links)
• On The Error Estimate for Cubature on Wiener Space (Q5419406) (← links)
• Efficient Second-order Weak Scheme for Stochastic Volatility Models (Q5746534) (← links)
• Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups (Q5857743) (← links)
• Total variation bound for Milstein scheme without iterated integrals (Q6073726) (← links)
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
• Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) (← links)
• Random splitting of fluid models: unique ergodicity and convergence (Q6160262) (← links)
• A topological approach to mapping space signatures (Q6655395) (← links)