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A weak approximation for Bismut’s formula: : An algorithmic differentiation method

Published: 01 February 2024 Publication History

Abstract

The paper provides a novel algorithmic differentiation method by constructing a weak approximation for Bismut’s formula. A new operator splitting method based on Gaussian Kusuoka-approximation is introduced for an enlarged semigroup describing “differentiation of diffusion semigroup”. The effectiveness of the new algorithmic differentiation is checked through numerical examples.

Highlights

Novel algorithmic differentiation method is provided through Bismut’s formula.
New operator splitting method is introduced for gradient of diffusion semigroups.
New perspective is proposed for weak approximation on gradient computation.
Numerical results show the superiority of the proposed method on accuracy.

References

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          Published In

          cover image Mathematics and Computers in Simulation
          Mathematics and Computers in Simulation  Volume 216, Issue C
          Feb 2024
          399 pages

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          Elsevier Science Publishers B. V.

          Netherlands

          Publication History

          Published: 01 February 2024

          Author Tags

          1. Algorithmic differentiation
          2. Stochastic differential equation
          3. Weak approximation
          4. Bismut formula
          5. Gaussian kusuoka-approximation
          6. Enlarged semigroup

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