A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus-Reference-Cited by-同舟云学术

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A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus

Published:2023-05 Issue: Volume:187 Page:192-205
ISSN:0168-9274
Container-title:Applied Numerical Mathematics
language:en
Short-container-title:Applied Numerical Mathematics

Author:

Yamada Toshihiro

Funder

Osaka University

Precursory Research for Embryonic Science and Technology

Japan Science and Technology Agency

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference83 articles.

1. Closed-form likelihood expansions for multivariate diffusions;Ait-Sahalia;Ann. Stat.,2008

2. Implied stochastic volatility models;Ait-Sahalia;Rev. Financ. Stud.,2021

3. Closed-form implied volatility surfaces for stochastic volatility models with jumps;Ait-Sahalia;J. Econom.,2021

4. A weak approximation method for irregular functionals of hypoelliptic diffusions;Akiyama;Appl. Numer. Math.,2022

5. Mathematical Theory of Feynman Path Integrals;Albeverio,1976

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