Pages that link to "Item:Q1872461"
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The following pages link to Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions (Q1872461):
Displayed 50 items.
- A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (Q421807) (← links)
- Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method (Q422512) (← links)
- Split-step Milstein methods for multi-channel stiff stochastic differential systems (Q482399) (← links)
- A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems (Q486711) (← links)
- Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems (Q747917) (← links)
- Characterization of bistability for stochastic multistep methods (Q766224) (← links)
- Complexity and effective dimension of discrete Lévy areas (Q883328) (← links)
- SDELab: A package for solving stochastic differential equations in MATLAB (Q885951) (← links)
- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations (Q1038059) (← links)
- Weak Milstein scheme without commutativity condition and its error bound (Q1635492) (← links)
- The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method (Q1667600) (← links)
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation (Q1713860) (← links)
- On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (Q1713864) (← links)
- Polynomial convergence order of stochastic Bernstein approximation (Q1987745) (← links)
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE (Q2009114) (← links)
- Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises (Q2123648) (← links)
- Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme (Q2135071) (← links)
- Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion (Q2189180) (← links)
- The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms (Q2194701) (← links)
- Iterated stochastic integrals in infinite dimensions: approximation and error estimates (Q2287874) (← links)
- Stochastic analysis \& discrete quantum systems (Q2295525) (← links)
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems (Q2356068) (← links)
- Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes (Q2356605) (← links)
- Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory (Q2356881) (← links)
- Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise (Q2359994) (← links)
- Efficient almost-exact Lévy area sampling (Q2453869) (← links)
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (Q2511559) (← links)
- Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. (Q2574601) (← links)
- A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations (Q2665939) (← links)
- An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox (Q2700009) (← links)
- Unbiased Estimation with Square Root Convergence for SDE Models (Q2795863) (← links)
- The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series (Q3305757) (← links)
- (Q4965807) (← links)
- (Q4986658) (← links)
- Issues in the Software Implementation of Stochastic Numerical Runge–Kutta (Q5005582) (← links)
- Split-step double balanced approximation methods for stiff stochastic differential equations (Q5031844) (← links)
- HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX (Q5035343) (← links)
- (Q5056183) (← links)
- (Q5071330) (← links)
- On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion (Q5073873) (← links)
- An Analysis of the Milstein Scheme for SPDEs Without a Commutative Noise Condition (Q5117947) (← links)
- THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM (Q5204540) (← links)
- Deterministic and Stochastic Dynamics of Chronic Myelogenous Leukaemia Stem Cells Subject to Hill-Function-Like Signaling (Q5253369) (← links)
- KMT Theory Applied to Approximations of SDE (Q5374160) (← links)
- Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives (Q5742501) (← links)
- (Q5871683) (← links)
- A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case (Q6062439) (← links)
- Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function (Q6091048) (← links)
- TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS (Q6115088) (← links)
- (Q6141903) (← links)