2 papers
math.NA2024
A forward scheme with machine learning for forward-backward SDEs with jumps by decoupling jumps
Reiichiro Kawai, Riu Naito, Toshihiro Yamada
Forward-backward stochastic differential equations (FBSDEs) have been generalized by introducing jumps for better capturing random phenomena, while the resulting FBSDEs are far mor…
math.NA2024
An extended Milstein scheme for effective weak approximation of diffusions
Yuga Iguchi, Toshihiro Yamada
We propose a straightforward and effective method for discretizing multi-dimensional diffusion processes as an extension of Milstein scheme. The new scheme is explicitly given and…