A weak approximation for Bismut’s formula: An algorithmic differentiation method

Naho Akiyama and Toshihiro Yamada

Mathematics and Computers in Simulation (MATCOM), 2024, vol. 216, issue C, 386-396

Abstract: The paper provides a novel algorithmic differentiation method by constructing a weak approximation for Bismut’s formula. A new operator splitting method based on Gaussian Kusuoka-approximation is introduced for an enlarged semigroup describing “differentiation of diffusion semigroup”. The effectiveness of the new algorithmic differentiation is checked through numerical examples.

Keywords: Algorithmic differentiation; Stochastic differential equation; Weak approximation; Bismut formula; Gaussian kusuoka-approximation; Enlarged semigroup (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:216:y:2024:i:c:p:386-396

DOI: 10.1016/j.matcom.2023.09.003

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