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Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations.
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- International Journal of Computational Methods, 2022, v. 19, n. 8, p. 1, doi. 10.1142/S0219876221420147
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Asymptotic Expansion and Weak Approximation for a Stochastic Control Problem on Path Space.
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- Entropy, 2024, v. 26, n. 2, p. 119, doi. 10.3390/e26020119
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An acceleration scheme for deep learning-based BSDE solver using weak expansions.
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- International Journal of Financial Engineering, 2020, v. 7, n. 2, p. N.PAG, doi. 10.1142/S2424786320500127
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- Article
A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus.
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- Monte Carlo Methods & Applications, 2019, v. 25, n. 4, p. 341, doi. 10.1515/mcma-2019-2053
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A third-order weak approximation of multidimensional Itô stochastic differential equations.
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- Monte Carlo Methods & Applications, 2019, v. 25, n. 2, p. 97, doi. 10.1515/mcma-2019-2036
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- Article