A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934)
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scientific article; zbMATH DE number 7705771
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus |
scientific article; zbMATH DE number 7705771 |
Statements
A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (English)
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3 July 2023
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path integral
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stochastic differential equation
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weak approximation
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large deviation
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Malliavin calculus
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Kusuoka approximation
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