Toshihiro Yamada

Publication Activity (10 Years)

Years Active: 2012-2024
Publications (10 Years): 22

Top Topics

Differential Equations

Operator Splitting

Top Venues

Monte Carlo Methods Appl.

SIAM/ASA J. Uncertain. Quantification

SIAM J. Numer. Anal.

Publications

Naho Akiyama, Toshihiro Yamada
A weak approximation for Bismut's formula: An algorithmic differentiation method. Math. Comput. Simul. 216 (2024)
Masaya Kannari, Riu Naito, Toshihiro Yamada
Asymptotic Expansion and Weak Approximation for a Stochastic Control Problem on Path Space. Entropy 26 (2) (2024)
Akihiko Takahashi, Toshihiro Yamada
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion. CoRR (2023)
Toshihiro Yamada
Total variation bound for Milstein scheme without iterated integrals. Monte Carlo Methods Appl. 29 (3) (2023)
Naho Akiyama, Toshihiro Yamada
Discrete Bismut formula: Conditional integration by parts and a representation for delta hedging process. Risk Decis. Anal. 9 (1) (2023)
Riu Naito, Toshihiro Yamada
A deep learning-based high-order operator splitting method for high-dimensional nonlinear parabolic PDEs via Malliavin calculus: application to CVA computation. CIFEr (2022)
Naho Akiyama, Toshihiro Yamada
A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting. Monte Carlo Methods Appl. 28 (2) (2022)
Yuga Iguchi, Toshihiro Yamada
Weak approximation of SDEs for tempered distributions and applications. Adv. Comput. Math. 48 (5) (2022)
Toshihiro Yamada
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs. SIAM J. Financial Math. 13 (1) (2022)
Akihiko Takahashi, Yoshifumi Tsuchida, Toshihiro Yamada
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: Control variate method for Deep BSDE solver. J. Comput. Phys. 454 (2022)
Akihiko Takahashi, Yoshifumi Tsuchida, Toshihiro Yamada
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver. CoRR (2021)
Kimiki Tokutome, Toshihiro Yamada
Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization. Numer. Algorithms 86 (2) (2021)
Toshihiro Yamada
High order weak approximation for irregular functionals of time-inhomogeneous SDEs. Monte Carlo Methods Appl. 27 (2) (2021)
Riu Naito, Toshihiro Yamada
A machine learning solver for high-dimensional integrals: Solving Kolmogorov PDEs by stochastic weighted minimization and stochastic gradient descent through a high-order weak approximation scheme of SDEs with Malliavin weights. CoRR (2020)
Riu Naito, Toshihiro Yamada
A third-order weak approximation of multidimensional Itô stochastic differential equations. Monte Carlo Methods Appl. 25 (2) (2019)
Toshihiro Yamada
An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions. SIAM J. Numer. Anal. 57 (2) (2019)
Yusuke Okano, Toshihiro Yamada
A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion. Monte Carlo Methods Appl. 25 (3) (2019)
Riu Naito, Toshihiro Yamada
A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus. Monte Carlo Methods Appl. 25 (4) (2019)
Toshihiro Yamada, Kenta Yamamoto
Second Order Discretization of Bismut-Elworthy-Li Formula: Application to Sensitivity Analysis. SIAM/ASA J. Uncertain. Quantification 7 (1) (2019)
Toshihiro Yamada, Kenta Yamamoto
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation. Monte Carlo Methods Appl. 24 (4) (2018)
Toshihiro Yamada
A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights. J. Comput. Appl. Math. 321 (2017)
Akihiko Takahashi, Toshihiro Yamada
On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model. Math. Oper. Res. 40 (3) (2015)
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model. JSIAM Lett. 5 (2013)
Akihiko Takahashi, Toshihiro Yamada
An Asymptotic Expansion with Push-Down of Malliavin Weights. SIAM J. Financial Math. 3 (1) (2012)