A New Second Order Discretization with Malliavin Calculus for Elliptic and Hypoelliptic Diffusions Arising in Finance

2015 ◽  
Author(s):  
Toshihiro Yamada
Keyword(s):  
Malliavin Calculus ◽  
Second Order

A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus

2019 ◽  
Vol 25 (4) ◽  
pp. 341-361
Author(s):  
Riu Naito ◽  
Toshihiro Yamada
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Differential Equations ◽  
Least Squares ◽  
Stochastic Differential Equations ◽  
Malliavin Calculus ◽  
Second Order ◽  
Discretization Method ◽  
Local Approximations ◽  
Backward Sdes

Abstract The paper proposes a new second-order discretization method for forward-backward stochastic differential equations. The method is given by an algorithm with polynomials of Brownian motions where the local approximations using Malliavin calculus play a role. For the implementation, we introduce a new least squares Monte Carlo method for the scheme. A numerical example is illustrated to check the effectiveness.

scholarly journals Semigroup Solution of Path-Dependent Second-Order Parabolic Partial Differential Equations

2017 ◽  
Vol 2017 ◽  
pp. 1-12
Author(s):  
Sixian Jin ◽  
Henry Schellhorn
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Heat Equation ◽  
Malliavin Calculus ◽  
Series Representation ◽  
Parabolic Type ◽  
Second Order ◽  
Parabolic Partial Differential Equations ◽  
Partial Differential ◽  
Path Dependent

We apply a new series representation of martingales, developed by Malliavin calculus, to characterize the solution of the second-order path-dependent partial differential equations (PDEs) of parabolic type. For instance, we show that the generator of the semigroup characterizing the solution of the path-dependent heat equation is equal to one-half times the second-order Malliavin derivative evaluated along the frozen path.

Disappearance Voltage Determinations Using a Convergent Beam

1971 ◽  
Vol 29 ◽  
pp. 184-185
Author(s):  
W. L. Bell
Keyword(s):  
Second Order ◽  
Objective Method ◽  
Uniform Thickness ◽  
Rocking Curve ◽  
Crystal Perfection ◽  
Kikuchi Line ◽  
Central Maximum ◽  
Diffraction Patterns ◽  
Convergent Beam ◽  
Beam Technique

Disappearance voltages for second order reflections can be determined experimentally in a variety of ways. The more subjective methods, such as Kikuchi line disappearance and bend contour imaging, involve comparing a series of diffraction patterns or micrographs taken at intervals throughout the disappearance range and selecting that voltage which gives the strongest disappearance effect. The estimated accuracies of these methods are both to within 10 kV, or about 2-4%, of the true disappearance voltage, which is quite sufficient for using these voltages in further calculations. However, it is the necessity of determining this information by comparisons of exposed plates rather than while operating the microscope that detracts from the immediate usefulness of these methods if there is reason to perform experiments at an unknown disappearance voltage.The convergent beam technique for determining the disappearance voltage has been found to be a highly objective method when it is applicable, i.e. when reasonable crystal perfection exists and an area of uniform thickness can be found. The criterion for determining this voltage is that the central maximum disappear from the rocking curve for the second order spot.

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