A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting.
Naho AkiyamaToshihiro YamadaPublished in: Monte Carlo Methods Appl. (2022)
Keyphrases
- high order
- operator splitting
- partial differential equations
- anisotropic diffusion
- higher order
- convex optimization
- low order
- numerical scheme
- markov chain
- lower order
- low rank
- pairwise
- markov random field
- noise removal
- linear combination
- total variation
- feature extraction
- numerical solution
- vector valued
- similarity measure