Slides

AbstractBackgroundMain resultThe Runge–Kutta methodNumerical ExampleRecent developmentsAppendix/BackupReferences 1/2:◮ Kusuoka, S.: “Approximation of Expectation of Diffusion Processand Mathematical Finance.” In: T. Sunada (ed.) Advanced Studiesin Pure Mathematics, Proceedings of Final Taniguchi Symposium,Nara 1998, vol. 31, pp. 147–165 (2001)◮ Kusuoka, S.: “Approximation of Expectation of Diffusion Processesbased on Lie Algebra and Malliavin Calculs.” Advances inMathematical Economics 6, 69–83(2004)◮ Lyons, T., Victoir, N.: “Cubature on Wiener Space.” Proceedings ofthe Royal Society of London. Series A. Mathematical and PhysicalSciences 460, 169–198(2004)S. Ninomiya, M. Ninomiya Extension of a higher-order weak approximation