Work

An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions

Year: 2019

Type: article

Source: SIAM Journal on Numerical Analysis

DOI: 10.1137/17m114412x

Author: Toshihiro Yamada

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Japan Society for the Promotion of Science

Award: New higher order discretization method with Malliavin calculus

OpenAlex ID: W2922568637

FWCI: 5.758

Cites: 18

Cited by: 32

Related to: 10