Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

By S. Kusuoka. 2003

60 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/78519b18c37a155191232debc1d9e7d089fa77e0