{"title":"时间非齐次SDE不规则泛函的高阶弱逼近","authors":"T. Yamada","doi":"10.1515/MCMA-2021-2085","DOIUrl":null,"url":null,"abstract":"Abstract This paper shows a general weak approximation method for time-inhomogeneous stochastic differential equations (SDEs) using Malliavin weights. A unified approach is introduced to construct a higher order discretization scheme for expectations of non-smooth functionals of solutions of time-inhomogeneous SDEs. Numerical experiments show the validity of the method.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"117 - 136"},"PeriodicalIF":0.8000,"publicationDate":"2021-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/MCMA-2021-2085","citationCount":"3","resultStr":"{\"title\":\"High order weak approximation for irregular functionals of time-inhomogeneous SDEs\",\"authors\":\"T. Yamada\",\"doi\":\"10.1515/MCMA-2021-2085\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract This paper shows a general weak approximation method for time-inhomogeneous stochastic differential equations (SDEs) using Malliavin weights. A unified approach is introduced to construct a higher order discretization scheme for expectations of non-smooth functionals of solutions of time-inhomogeneous SDEs. Numerical experiments show the validity of the method.\",\"PeriodicalId\":46576,\"journal\":{\"name\":\"Monte Carlo Methods and Applications\",\"volume\":\"27 1\",\"pages\":\"117 - 136\"},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2021-02-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1515/MCMA-2021-2085\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Monte Carlo Methods and Applications\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/MCMA-2021-2085\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Monte Carlo Methods and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/MCMA-2021-2085","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
High order weak approximation for irregular functionals of time-inhomogeneous SDEs
Abstract This paper shows a general weak approximation method for time-inhomogeneous stochastic differential equations (SDEs) using Malliavin weights. A unified approach is introduced to construct a higher order discretization scheme for expectations of non-smooth functionals of solutions of time-inhomogeneous SDEs. Numerical experiments show the validity of the method.
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