Toshihiro Yamada
According to our database1,
Toshihiro Yamada
authored at least 22 papers
between 2012 and 2024.
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Bibliography
2024
Math. Comput. Simul., February, 2024
2023
Monte Carlo Methods Appl., September, 2023
Discrete Bismut formula: Conditional integration by parts and a representation for delta hedging process.
Risk Decis. Anal., 2023
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion.
CoRR, 2023
2022
SIAM J. Financial Math., 2022
A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting.
Monte Carlo Methods Appl., 2022
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: Control variate method for Deep BSDE solver.
J. Comput. Phys., 2022
Adv. Comput. Math., 2022
A deep learning-based high-order operator splitting method for high-dimensional nonlinear parabolic PDEs via Malliavin calculus: application to CVA computation.
Proceedings of the IEEE Symposium on Computational Intelligence for Financial Engineering and Economics, 2022
2021
Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization.
Numer. Algorithms, 2021
Monte Carlo Methods Appl., 2021
2020
A machine learning solver for high-dimensional integrals: Solving Kolmogorov PDEs by stochastic weighted minimization and stochastic gradient descent through a high-order weak approximation scheme of SDEs with Malliavin weights.
CoRR, 2020
2019
An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions.
SIAM J. Numer. Anal., 2019
A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion.
Monte Carlo Methods Appl., 2019
A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus.
Monte Carlo Methods Appl., 2019
A third-order weak approximation of multidimensional Itô stochastic differential equations.
Monte Carlo Methods Appl., 2019
Second Order Discretization of Bismut-Elworthy-Li Formula: Application to Sensitivity Analysis.
SIAM/ASA J. Uncertain. Quantification, 2019
2018
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation.
Monte Carlo Methods Appl., 2018
2017
A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights.
J. Comput. Appl. Math., 2017
2015
On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model.
Math. Oper. Res., 2015
2013
An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model.
JSIAM Lett., 2013
2012
SIAM J. Financial Math., 2012