This paper proposes a general approximation method for the solutions to second order parabolic partial differential equations (PDEs) by an extension of Leandre's approach and the Bismut identity in Malliavin calculus. We show two types of its applications, new approximations of derivatives...

We show a new higher order weak approximation with Malliavin weights for multidimensional stochastic differential equations by extending the method in Takahashi and Yamada (2016). The estimate of global error of the discretization is based on a sharp small time expansion using a Malliavin...

The paper proposes a new automatic/algorithmic differentiation for the solutions to partial differential equations of parabolic type. In particular, we provide a higher order discretization scheme which is a natural extension of the standard automatic differentiation. A Brownian polynomial...

This paper proposes a new third-order discretization algorithm for multidimensional Itô stochastic differential equations driven by Brownian motions. The scheme is constructed by the Euler-Maruyama scheme with a stochastic weight given by polynomials of Brownian motions, which is simply...