Imagen de Portada

A high-order recombination algorithm for weak approximation of stochastic differential equations

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Ninomiya, Syoiti, Shinozaki, Yuji
Formato:	Preprint
Publicado:	2025
Materias:	Probability Computational Finance 91G60, 60H35, 65C20, 65C30, 65C05, 68U20, 62P05
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Error analysis for learning fractional stochastic differential equations with applications in neural approximations
por: Dehshiri, Mahdi, et al.
Publicado: (2026)

Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities
por: Bayer, Christian, et al.
Publicado: (2020)

A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method
por: Ninomiya, Mariko, et al.
Publicado: (2007)

Branched Signature Model
por: Ali, Munawar, et al.
Publicado: (2025)

A new architecture of high-order deep neural networks that learn martingales
por: Ninomiya, Syoiti, et al.
Publicado: (2025)

Weak approximation of stochastic differential equations and application to derivative pricing
por: Ninomiya, Syoiti, et al.
Publicado: (2006)

High order weak approximation of Stochastic Differential Equations for bounded and measurable test functions
por: Rey, Clément
Publicado: (2024)

Joint calibration to SPX and VIX options with signature-based models
por: Cuchiero, Christa, et al.
Publicado: (2023)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
por: Coffie, Emmanuel
Publicado: (2025)

How can the dual martingale help solving the primal optimal stopping problem?
por: Alfonsi, Aurélien, et al.
Publicado: (2026)

A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation
por: Crépey, Stéphane, et al.
Publicado: (2023)

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
por: Crépey, Stéphane, et al.
Publicado: (2024)

A pure dual approach for hedging Bermudan options
por: Alfonsi, Aurélien, et al.
Publicado: (2024)

Nonparametric learning of stochastic differential equations from sparse and noisy data
por: Ganguly, Arnab, et al.
Publicado: (2025)

High order approximations and simulation schemes for the log-Heston process
por: Alfonsi, Aurélien, et al.
Publicado: (2024)

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
por: Dimitrov, Mara Kalicanin, et al.
Publicado: (2025)

A generalized coupling approach for the weak approximation of stochastic functional differential equations
por: Hamaguchi, Yushi, et al.
Publicado: (2024)

A Fast Monte Carlo algorithm for evaluating matrix functions with application in complex networks
por: Guidotti, Nicolas L., et al.
Publicado: (2023)

Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
por: Yang, Jiefei, et al.
Publicado: (2024)

A weighted multilevel Monte Carlo method
por: Li, Yu, et al.
Publicado: (2024)

A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
por: Diaz-Lozano, Pere, et al.
Publicado: (2026)

Upper tails for homomorphism counts in sparse random hypergraphs
por: Cook, Nicholas A., et al.
Publicado: (2025)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
por: Choi, Jaehyuk, et al.
Publicado: (2024)

Polynomial Mixing Times of Simulated Tempering for Mixture Targets by Conductance Decomposition
por: Zhou, Quan
Publicado: (2025)

Rough differential equations for volatility
por: Bonesini, Ofelia, et al.
Publicado: (2024)

Efficient simulation of a new class of Volterra-type SDEs
por: Bonesini, Ofelia, et al.
Publicado: (2023)

Convergence of stochastic gradient descent schemes for Lojasiewicz-landscapes
por: Dereich, Steffen, et al.
Publicado: (2021)

Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
por: Leung, Tim, et al.
Publicado: (2023)

Adaptive Multilevel Splitting: First Application to Rare-Event Derivative Pricing
por: Gozzo, Riccardo
Publicado: (2025)

Controlled fields, rough stochastic calculus, and Itô-Wentzell-Alekseev-Gröbner identities
por: Dause, Jannis R., et al.
Publicado: (2026)

Optimal strategy and deep hedging for share repurchase programs
por: Corti, Stefano, et al.
Publicado: (2026)

Rough volatility dynamics in commodity markets
por: Daluiso, Roberto, et al.
Publicado: (2026)

Machine-learning regression methods for American-style path-dependent contracts
por: Gambara, Matteo, et al.
Publicado: (2023)

Pricing Quanto and Composite Contracts with Local-Correlation Models
por: Pallavicini, Andrea
Publicado: (2025)

Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm
por: Iguchi, Yuga, et al.
Publicado: (2024)

Connectivity of random hypergraphs with a given hyperedge size distribution
por: Bergman, Elmer, et al.
Publicado: (2022)

Stochastic conformal integrators for linearly damped stochastic Poisson systems
por: Bréhier, Charles-Edouard, et al.
Publicado: (2025)

A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models
por: Georgoulis, Emmanuil H., et al.
Publicado: (2024)

The multi-index Monte Carlo method for semilinear stochastic partial differential equations
por: Haji-Ali, Abdul-Lateef, et al.
Publicado: (2025)

Accelerated Simulation Algorithms for Extreme First-Passage Problems with General Emission Profiles
por: Mfoumou, Emmanuel Akame, et al.
Publicado: (2026)