An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space

Kazuhiro Yoshikawa ()

Asia-Pacific Financial Markets, 2015, vol. 22, issue 2, 185-207

Abstract: In this paper, we show that every antisymmetric multiple stochastic (Ito’s) integral has a polynomial form of single and double ones. As an application, a new approximating scheme for the solution to a stochastic differential equation is proposed. Copyright Springer Japan 2015

Keywords: Stochastic area; Numerical analysis of stochastic differential equation; Fermion Fock space; G13 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10690-014-9199-2

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