An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo : Analysis of Probability Distribution Functions

This paper proposes an arbitrary high order weak approximation scheme for multidimensional Stratonovich stochastic differential equations using Malliavin calculus. The scheme efficiently works whether test function is smooth or not. The Malliavin Monte Carlo method, a simple numerical algorithm, is introduced to implement the scheme. Numerical examples illustrate the validity of the method

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Year of publication:	2019
Authors:	Yamada, Toshihiro
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Monte-Carlo-Simulation \| Monte Carlo simulation \| Wahrscheinlichkeitsrechnung \| Probability theory \| Statistische Verteilung \| Statistical distribution \| Simulation \| Schätztheorie \| Estimation theory
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: SIAM Journal on Numerical Analysis, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 16, 2019 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012890550