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Cited article:
Yuga Iguchi , Toshihiro Yamada
ESAIM: M2AN, 55 (2021) S323-S367
Published online: 2021-02-26
This article has been cited by the following article(s):
17 articles
Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions
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Asymptotic Expansion and Weak Approximation for a Stochastic Control Problem on Path Space
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High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
James M. Foster, Gonçalo dos Reis and Calum Strange SIAM Journal on Numerical Analysis 62 (1) 500 (2024) https://doi.org/10.1137/23M155147X
Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models
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Deep Kusuoka Approximation: High-Order Spatial Approximation for Solving High-Dimensional Kolmogorov Equations and Its Application to Finance
Riu Naito and Toshihiro Yamada Computational Economics 64 (3) 1443 (2024) https://doi.org/10.1007/s10614-023-10476-2
Pricing High-Dimensional Bermudan Options Using Deep Learning and High-Order Weak Approximation
Riu Naito and Toshihiro Yamada SSRN Electronic Journal (2023) https://doi.org/10.2139/ssrn.4316097
Control Variate Method for Deep BSDE Solver Using Weak Approximation
Yoshifumi Tsuchida Asia-Pacific Financial Markets 30 (2) 273 (2023) https://doi.org/10.1007/s10690-022-09374-8
A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
Toshihiro Yamada Applied Numerical Mathematics 187 192 (2023) https://doi.org/10.1016/j.apnum.2023.02.012
Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
Akihiko Takahashi and Toshihiro Yamada Partial Differential Equations and Applications 4 (4) (2023) https://doi.org/10.1007/s42985-023-00240-4
A higher order weak approximation of McKean–Vlasov type SDEs
Riu Naito and Toshihiro Yamada BIT Numerical Mathematics 62 (2) 521 (2022) https://doi.org/10.1007/s10543-021-00880-1
A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
Naho Akiyama and Toshihiro Yamada Monte Carlo Methods and Applications 28 (2) 97 (2022) https://doi.org/10.1515/mcma-2022-2109
A weak approximation method for irregular functionals of hypoelliptic diffusions
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Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations
Riu Naito and Toshihiro Yamada International Journal of Computational Methods 19 (08) (2022) https://doi.org/10.1142/S0219876221420147
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: Control variate method for Deep BSDE solver
Akihiko Takahashi, Yoshifumi Tsuchida and Toshihiro Yamada Journal of Computational Physics 454 110956 (2022) https://doi.org/10.1016/j.jcp.2022.110956
Riu Naito and Toshihiro Yamada 1 (2022) https://doi.org/10.1109/CIFEr52523.2022.9776096
Yuga Iguchi, Riu Naito, Yusuke Okano, Akihiko Takahashi and Toshihiro Yamada 1 (2021) https://doi.org/10.1109/CSDE53843.2021.9718463