An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space

DOI10.1007/s10690-014-9199-2zbMath1368.60059OpenAlexW2002523735MaRDI QIDQ2013298

Kazuhiro Yoshikawa

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9199-2

zbMATH Keywords

stochastic areafermion Fock spacenumerical analysis of stochastic differential equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic integrals (60H05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Unnamed Item
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Levy's stochastic area formula in higher dimensions
• Tau functions of KP solitons realized in Wiener space
• Cubature on Wiener space
• Stratonovich and Ito Stochastic Taylor Expansions
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

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