Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs

DOI10.1137/21M1433915zbMath1491.60116OpenAlexW4206698714MaRDI QIDQ5029930

Toshihiro Yamada

Publication date: 15 February 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1433915

zbMATH Keywords

stochastic differential equationsKusuoka approximationNinomiya-Victoir splitting scheme

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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