Syoiti NINOMIYA
Center for Research in Advanced Financial Technology, Tokyo Institute of Technology,


Title: On an extension of an algorithm of higher-order weak approximation to SDEs


Abstract: In this talk, a trial on the extension of the higher-order weak 
approximation method of SDEs proposed in [1] is reported.  Some algebraic 
correspondenses between the free Lie algebra and rings of polynomials will be 
reported.

  This is a collaborative work with Mariko Ninomiya.

[1] ``A new higher-order weak approximation scheme of stochastic differential 
equations and the Runge-Kutta method'' (with Mariko Ninomiya),  Finance and 
Stochastics vol. 13, No. 3 (September, 2009), pp. 415--443.