Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

3 references·8 citing·36 second hop

FromToDepth

this work references cited by second hop

References

2016Numerical solution of stochastic differential equations5,001 cited
1996The law of the Euler scheme for stochastic differential equations375 cited
1985Applications of the Malliavin calculus. II365 cited

Cited by

2012Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing84 cited
2010Jump-diffusions in Hilbert spaces: existence, stability and numerics60 cited
2009A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method56 cited
2013Exact and high-order discretization schemes for Wishart processes and their affine extensions47 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
2010Efficient and Practical Implementations of Cubature on Wiener Space38 cited
2013Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets35 cited
2015Asymptotic Expansion Approach in Finance29 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work