Discretizing the fractional Lévy area
From MaRDI portal
Publication:2267547
DOI10.1016/j.spa.2009.10.007zbMath1185.60076arXiv0902.0497MaRDI QIDQ2267547
Samy Tindel, Andreas Neuenkirch, Jérémie M. Unterberger
Publication date: 1 March 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.0497
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07: Stochastic calculus of variations and the Malliavin calculus
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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