An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space

<Para ID="Par1">In this paper, we show that every antisymmetric multiple stochastic (Ito’s) integral has a polynomial form of single and double ones. As an application, a new approximating scheme for the solution to a stochastic differential equation is proposed. Copyright Springer Japan 2015

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Year of publication:	2015
Authors:	Yoshikawa, Kazuhiro
Published in:	Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 22.2015, 2, p. 185-207
Publisher:	Springer
Subject:	Stochastic area \| Numerical analysis of stochastic differential equation \| Fermion Fock space

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011241982