Weak Milstein scheme without commutativity condition and its error bound
type: Item
instance of: scholarly article
title: Weak Milstein scheme without commutativity condition and its error bound
author: Toshihiro Yamada
published in: Applied Numerical Mathematics
publication date: 2018-06-06T00:00:00Z
Mathematics Subject Classification ID: 65-XX
zbMATH DE Number: 6881603
zbMATH Keywords: Milstein scheme
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: weak approximation
MaRDI profile type: Publication
full work available at URL: j.apnum.2018.04.007
OpenAlex ID: W2799847552
cites work: Stochastic processes in cell biology
cites work: Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
cites work: Q3504233
cites work: Q4433608
cites work: Efficient and Practical Implementations of Cubature on Wiener Space
cites work: Donsker's delta functions and approximation of heat kernels by the time discretization methods
cites work: A survey of numerical methods for stochastic differential equations
cites work: Q3995203
cites work: Q4535130
cites work: Q3336457
cites work: Q3684932
cites work: Q4792093
cites work: Cubature on Wiener space
cites work: Q4337939
cites work: Continuous Markov processes and stochastic equations
cites work: Approximate Integration of Stochastic Differential Equations
cites work: The Malliavin Calculus and Related Topics
cites work: Stochastic Processes and Applications
cites work: An Asymptotic Expansion with Push-Down of Malliavin Weights
cites work: A weak approximation with asymptotic expansion and multidimensional Malliavin weights
cites work: Q3331110
cites work: Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
cites work: Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
cites work: A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
Wikidata QID: Q129931723
DOI: 10.1016/J.APNUM.2018.04.007
description: scientific article; zbMATH DE number 6881603