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math.NA2025
A Closed-Form Transition Density Expansion for Elliptic and Hypo-Elliptic SDEs
Yuga Iguchi, Alexandros Beskos
We introduce a closed-form expansion for the transition density of elliptic and hypo-elliptic multivariate Stochastic Differential Equations (SDEs), over a period , in…
math.NA2025
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
Yuga Iguchi, Ajay Jasra, Mohamed Maama +1
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-ellipti…