An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space
type: Item
instance of: scholarly article
title: An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space
zbMATH Open document ID: 1368.60059
author: Kazuhiro Yoshikawa
published in: Asia-Pacific Financial Markets
publication date: 2017-08-17T00:00:00Z
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60K10
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6761422
zbMATH Keywords: stochastic area
zbMATH Keywords: numerical analysis of stochastic differential equation
zbMATH Keywords: fermion Fock space
MaRDI profile type: Publication
full work available at URL: s10690-014-9199-2
OpenAlex ID: W2002523735
cites work: Tau functions of KP solitons realized in Wiener space
cites work: Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
cites work: Levy's stochastic area formula in higher dimensions
cites work: Stratonovich and Ito Stochastic Taylor Expansions
cites work: Q5486567
cites work: Cubature on Wiener space
cites work: A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
cites work: Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
DOI: 10.1007/S10690-014-9199-2
description: scientific article; zbMATH DE number 6761422