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20062025
most citedWeak approximation of stochastic differential equations and application to derivative pricing

178 citations · 234 across the 4 of their papers we have counts for

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math.PR2007★ 56 cited

A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method

Mariko Ninomiya, Syoiti Ninomiya

In this paper, authors successfully construct a new algorithm for the new higher order scheme of weak approximation of SDEs. The algorithm presented here is based on [1][2]. Althou…