High order weak approximation for irregular functionals of time-inhomogeneous SDEs

DOI10.1515/mcma-2021-2085zbMath1489.60121OpenAlexW3131896781MaRDI QIDQ2040466

Toshihiro Yamada

Publication date: 14 July 2021

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2021-2085

zbMATH Keywords

Malliavin calculusstochastic differential equationsweak approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
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