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An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space |
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| Authors: | |
| Institution: | 1.Graduate School of Science and Engineering,Ritsumeikan University,Kusatsu,Japan |
| Abstract: | In this paper, we show that every antisymmetric multiple stochastic (Ito’s) integral has a polynomial form of single and double ones. As an application, a new approximating scheme for the solution to a stochastic differential equation is proposed. |
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