{"id":"https://openalex.org/W2898914570","doi":"https://doi.org/10.1515/mcma-2018-2024","title":"A second-order weak approximation of SDEs using a Markov chain without L\u00e9vy area simulation","display_name":"A second-order weak approximation of SDEs using a Markov chain without L\u00e9vy area simulation","publication_year":2018,"publication_date":"2018-10-23","ids":{"openalex":"https://openalex.org/W2898914570","doi":"https://doi.org/10.1515/mcma-2018-2024","mag":"2898914570"},"language":"en","primary_location":{"id":"doi:10.1515/mcma-2018-2024","is_oa":false,"landing_page_url":"https://doi.org/10.1515/mcma-2018-2024","pdf_url":null,"source":{"id":"https://openalex.org/S142132501","display_name":"Monte Carlo Methods and Applications","issn_l":"0929-9629","issn":["0929-9629","1569-3961"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Monte Carlo Methods and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101803892","display_name":"Toshihiro Yamada","orcid":"https://orcid.org/0000-0002-7396-7330"},"institutions":[{"id":"https://openalex.org/I111428342","display_name":"Hitotsubashi University","ror":"https://ror.org/04jqj7p05","country_code":"JP","type":"education","lineage":["https://openalex.org/I111428342"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Toshihiro Yamada","raw_affiliation_strings":["Hitotsubashi University , Tokyo , Japan"],"affiliations":[{"raw_affiliation_string":"Hitotsubashi University , Tokyo , Japan","institution_ids":["https://openalex.org/I111428342"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5076279416","display_name":"Kenta Yamamoto","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Kenta Yamamoto","raw_affiliation_strings":["MUFG Bank , Tokyo , Japan"],"affiliations":[{"raw_affiliation_string":"MUFG Bank , Tokyo , Japan","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5101803892"],"corresponding_institution_ids":["https://openalex.org/I111428342"],"apc_list":null,"apc_paid":null,"fwci":1.5587,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.8518179,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":97},"biblio":{"volume":"24","issue":"4","first_page":"289","last_page":"308"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.7966285943984985},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7200665473937988},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.6913573741912842},{"id":"https://openalex.org/keywords/moment","display_name":"Moment (physics)","score":0.6444547772407532},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5959503054618835},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.5197998285293579},{"id":"https://openalex.org/keywords/markov-chain-mixing-time","display_name":"Markov chain mixing time","score":0.5077980160713196},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.47607511281967163},{"id":"https://openalex.org/keywords/balance-equation","display_name":"Balance equation","score":0.461694598197937},{"id":"https://openalex.org/keywords/random-variable","display_name":"Random variable","score":0.45374542474746704},{"id":"https://openalex.org/keywords/markov-property","display_name":"Markov property","score":0.43463706970214844},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3595382571220398},{"id":"https://openalex.org/keywords/markov-model","display_name":"Markov model","score":0.31169646978378296},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.11188584566116333},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.0971643328666687},{"id":"https://openalex.org/keywords/classical-mechanics","display_name":"Classical mechanics","score":0.0672779381275177}],"concepts":[{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.7966285943984985},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7200665473937988},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.6913573741912842},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.6444547772407532},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5959503054618835},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.5197998285293579},{"id":"https://openalex.org/C97074811","wikidata":"https://www.wikidata.org/wiki/Q6771322","display_name":"Markov chain mixing time","level":5,"score":0.5077980160713196},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.47607511281967163},{"id":"https://openalex.org/C158917313","wikidata":"https://www.wikidata.org/wiki/Q4849964","display_name":"Balance equation","level":4,"score":0.461694598197937},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.45374542474746704},{"id":"https://openalex.org/C189973286","wikidata":"https://www.wikidata.org/wiki/Q176695","display_name":"Markov property","level":4,"score":0.43463706970214844},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3595382571220398},{"id":"https://openalex.org/C163836022","wikidata":"https://www.wikidata.org/wiki/Q6771326","display_name":"Markov model","level":3,"score":0.31169646978378296},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.11188584566116333},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0971643328666687},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0672779381275177}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1515/mcma-2018-2024","is_oa":false,"landing_page_url":"https://doi.org/10.1515/mcma-2018-2024","pdf_url":null,"source":{"id":"https://openalex.org/S142132501","display_name":"Monte Carlo Methods and Applications","issn_l":"0929-9629","issn":["0929-9629","1569-3961"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Monte Carlo Methods and Applications","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1814552133","display_name":null,"funder_award_id":"16K13773","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"}],"funders":[{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W30496993","https://openalex.org/W39601454","https://openalex.org/W52263754","https://openalex.org/W389732810","https://openalex.org/W1529305232","https://openalex.org/W1594585884","https://openalex.org/W1978024676","https://openalex.org/W1984865765","https://openalex.org/W1985377459","https://openalex.org/W2008534422","https://openalex.org/W2028047679","https://openalex.org/W2599923222","https://openalex.org/W2753741416","https://openalex.org/W2799847552","https://openalex.org/W2949774207","https://openalex.org/W3123247881","https://openalex.org/W4231021340","https://openalex.org/W4243961535","https://openalex.org/W4250750844"],"related_works":["https://openalex.org/W4235599811","https://openalex.org/W3099350264","https://openalex.org/W2091522449","https://openalex.org/W292716529","https://openalex.org/W2987631717","https://openalex.org/W2735859191","https://openalex.org/W2027903142","https://openalex.org/W50519898","https://openalex.org/W190459708","https://openalex.org/W2387462590"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"paper":[2],"proposes":[3],"a":[4,75],"new":[5],"Markov":[6,73],"chain":[7],"approach":[8],"to":[9,35],"second-order":[10],"weak":[11],"approximations":[12],"of":[13,31,56,65,68,81,91],"stochastic":[14],"differential":[15],"equations":[16],"(SDEs)":[17],"driven":[18],"by":[19,29],"d":[20,61],"-dimensional":[21],"Brownian":[22,32],"motion.":[23],"The":[24,53],"scheme":[25],"is":[26,59],"explicitly":[27],"constructed":[28],"polynomials":[30],"motions":[33],"up":[34],"second":[36],"order,":[37],"and":[38],"any":[39],"discrete":[40],"moment-matched":[41,94],"random":[42,57,95],"variables":[43,58],"or":[44],"the":[45,66,69,72,89],"L\u00e9vy":[46],"area":[47],"simulation":[48,64],"method":[49],"are":[50],"not":[51,92],"used.":[52],"required":[54],"number":[55],"still":[60],"in":[62],"one-step":[63],"implementation":[67],"scheme.":[70],"In":[71],"chain,":[74],"correction":[76],"term":[77],"with":[78,85],"Lie":[79],"bracket":[80],"vector":[82],"fields":[83],"associated":[84],"SDEs":[86],"appears":[87],"as":[88],"cost":[90],"using":[93],"variables.":[96]},"counts_by_year":[{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":3}],"updated_date":"2026-04-04T06:10:10.580331","created_date":"2025-10-10T00:00:00"}
