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Approximation of Expectation of Diffusion Process and Mathematical Finance
3 references·15 citing·32 second hop
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this work references cited by second hop

References

  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 1985Applications of the Malliavin calculus. II365 cited
  • 1989Flots et series de Taylor stochastiques120 cited

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  • 2009A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method56 cited
  • 2014Runge–Kutta schemes for backward stochastic differential equations51 cited
  • 2016RUNGE–KUTTA SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS50 cited
  • n.d.A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"41 cited
  • 2012High order recombination and an application to cubature on Wiener space39 cited
  • 2010Efficient and Practical Implementations of Cubature on Wiener Space38 cited
  • 2015A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations33 cited
  • 2019An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions

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32 cited
  • 2015Asymptotic Expansion Approach in Finance29 cited
  • 2008Cubature on Wiener space in infinite dimension25 cited
  • 2003A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems23 cited
  • 2012A new extrapolation method for weak approximation schemes with applications22 cited