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- W2968993686 abstract "Abstract The paper shows a new weak approximation method for stochastic differential equations as a generalization and an extension of Heath–Platen’s scheme for multidimensional diffusion processes. We reformulate the Heath–Platen estimator from the viewpoint of asymptotic expansion. The proposed scheme is implemented by a Monte Carlo method and its variance is much reduced by the asymptotic expansion which works as a kind of control variate. Numerical examples for the local stochastic volatility model are shown to confirm the efficiency of the method." @default.
- W2968993686 created "2019-08-22" @default.
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- W2968993686 date "2019-08-16" @default.
- W2968993686 modified "2023-09-25" @default.
- W2968993686 title "A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion" @default.
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- W2968993686 doi "https://doi.org/10.1515/mcma-2019-2044" @default.
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