Approximation of Expectation of Diffusion Process and Mathematical Finance

By S. Kusuoka. 2001

105 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a1ae50ff96905dab8a70c9adfe786b74864b5c1c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Benjamin Stemper
2. Christian Bayer
3. Peter K. Friz
4. Jorg Martin
5. Paul Gassiat
6. Nicolas Victoir
7. Terry Lyons
8. T. Cass

Citations in the corpus

• Malliavin Calculus Revisited (2003, background): “The assertion (3) follows from the definition of kα(t, x) and the assertions (1) and (2).”
• A regularity structure for rough volatility (2017, methodology): “From a numerical perspective, we note that the Kusuoka– Lyons–Victoir scheme (Kusuoka, 2001; Lyons & Victoir, 2004) also requires the full dynamics to be rewritten in Stratonovich form. In fact, viewing the Ninomiya–Victoir scheme Ninomiya and Victoir (2008) as level-5 cubature, in the sense of Lyon”