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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.PR2025

A high-order recombination algorithm for weak approximation of stochastic differential equations

Syoiti Ninomiya, Yuji Shinozaki

This paper presents an algorithm for applying the high-order recombination method, originally introduced by Lyons and Litterer in ``High-order recombination and an application to c…