論文
確率論的手法による確率微分方程式の高次弱近似法について
2020 年 30 巻 4 号 p. 8-15
詳細
2020 年 30 巻 4 号 p. 8-15
Numerical calculation of E[f(X(1,x))] where {X(t,x)}t≧0 is a diffusion process defined by a stochastic differential equation (SDE) is called weak approximation of the SDE. The author discusses higherorder discretization algorithms based on Kusuokaʼs theory. The fundamental theorem by Kusuoka and three algorithms are explained.
