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
Year of publication: |
2015
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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 |
Saved in:
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