An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations
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DOI: 10.1016/j.spa.2023.08.006
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References listed on IDEAS
- Syoiti Ninomiya & Nicolas Victoir, 2008. "Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 107-121.
- Passeggeri, Riccardo, 2020. "On the signature and cubature of the fractional Brownian motion for H>12," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1226-1257.
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Keywords
Weak approximation; Sewing lemma; Cubature on Wiener space;All these keywords.
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