A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus

DOI10.1016/j.apnum.2023.02.012MaRDI QIDQ6106934

Toshihiro Yamada

Publication date: 3 July 2023

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationpath integralMalliavin calculuslarge deviationweak approximationKusuoka approximation

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) 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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