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

Yamada Toshihiro ()
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Yamada Toshihiro: Hitotsubashi University & Japan Science and Technology Agency (JST), Tokyo, Japan

Monte Carlo Methods and Applications, 2021, vol. 27, issue 2, 117-136

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.

Keywords: Weak approximation; stochastic differential equations; Malliavin calculus (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1515/mcma-2021-2085

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