A weak approximation method for irregular functionals of hypoelliptic diffusions
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Publication:2057274
DOI10.1016/j.apnum.2021.09.020zbMath1484.65009OpenAlexW3202910732MaRDI QIDQ2057274
Naho Akiyama, Toshihiro Yamada
Publication date: 9 December 2021
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2021.09.020
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)
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