A weak approximation method for irregular functionals of hypoelliptic diffusions

2022 ◽  
Vol 172 ◽  
pp. 27-49
Author(s):  
Naho Akiyama ◽  
Toshihiro Yamada
Keyword(s):  
Approximation Method ◽  
Weak Approximation

High order weak approximation for irregular functionals of time-inhomogeneous SDEs

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Toshihiro Yamada
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Approximation Method ◽  
Numerical Experiments ◽  
Higher Order ◽  
High Order ◽  
Weak Approximation ◽  
Discretization Scheme ◽  
Unified Approach

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.

scholarly journals Monte Carlo construction of cubature on Wiener space

2021 ◽  
Author(s):  
Satoshi Hayakawa ◽  
Ken’ichiro Tanaka
Keyword(s):  
Monte Carlo ◽  
Linear Programming ◽  
Approximation Method ◽  
Cubature Formula ◽  
Mathematical Optimization ◽  
Monte Carlo Sampling ◽  
Wiener Space ◽  
Weak Approximation ◽  
Primary Result ◽  
General Dimension

AbstractIn this paper, we investigate application of mathematical optimization to construction of a cubature formula on Wiener space, which is a weak approximation method of stochastic differential equations introduced by Lyons and Victoir (Proc R Soc Lond A 460:169–198, 2004). After giving a brief review on the cubature theory on Wiener space, we show that a cubature formula of general dimension and degree can be obtained through a Monte Carlo sampling and linear programming. This paper also includes an extension of stochastic Tchakaloff’s theorem, which technically yields the proof of our primary result.

Using the Combination of GM(1,1) and Taylor Approximation Method to Predict the Academic Achievement of Student

2014 ◽  
Vol 1 (2) ◽  
pp. 55-69 ◽  
Author(s):  
Phuoc-Hai Nguyen ◽  
◽  
Tian-Wei Sheu ◽  
Phung-Tuyen Nguyen ◽  
Duc-Hieu Pham ◽  
...  
Keyword(s):  
Academic Achievement ◽  
Approximation Method ◽  
Taylor Approximation

Some numerical graphs with successive approximation method of fractional integro–differential equation

2019 ◽  
Vol 8 (4) ◽  
pp. 36
Author(s):  
Samir H. Abbas
Keyword(s):  
Differential Equation ◽  
Successive Approximation ◽  
Approximation Method ◽  
Existence And Uniqueness ◽  
Successive Approximation Method ◽  
Integro Differential Equation

This paper studies the existence and uniqueness solution of fractional integro-differential equation, by using some numerical graphs with successive approximation method of fractional integro –differential equation. The results of written new program in Mat-Lab show that the method is very interested and efficient. Also we extend the results of Butris [3].

A Weak Approximation of SDEs with Asymptotic Expansion

2013 ◽  
Author(s):  
Akihiko Takahashi ◽  
Toshihiro Yamada
Keyword(s):  
Asymptotic Expansion ◽  
Weak Approximation
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