Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels

DOI10.1051/m2an/2020043zbMath1479.58024OpenAlexW3040660558MaRDI QIDQ4958839

Yuga Iguchi, Toshihiro Yamada

Publication date: 15 September 2021

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/m2an/2020043

zbMATH Keywords

Malliavin calculusoperator splittingheat kernelBaker-Campbell-Hausdorff formulahigh-order discretization

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Heat and other parabolic equation methods for PDEs on manifolds (58J35)

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