Approximation and simulation of infinite-dimensional Lévy processes
From MaRDI portal
Publication:1617261
DOI10.1007/s40072-017-0109-2zbMath1402.60054arXiv1612.05541OpenAlexW2611965631MaRDI QIDQ1617261
Publication date: 7 November 2018
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.05541
stochastic partial differential equationsKarhunen-Loève expansionsubordinated processesinfinite-dimensional Lévy processes
Related Items (11)
Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients ⋮ Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions ⋮ Subordinated Gaussian random fields in elliptic partial differential equations ⋮ On some distributional properties of subordinated Gaussian random fields ⋮ On properties and applications of Gaussian subordinated Lévy fields ⋮ Point process simulation of generalised hyperbolic Lévy processes ⋮ A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients ⋮ A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients ⋮ Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge ⋮ Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Lévy random bridges and the modelling of financial information
- Regularity of Ornstein-Uhlenbeck processes driven by a Lévy white noise
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Hyperbolic distributions in finance
- Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
- Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
- Harnesses, Lévy bridges and Monsieur Jourdain
- Stochastic simulation: Algorithms and analysis
- Approximations of small jumps of Lévy processes with a view towards simulation
- The forward dynamics in energy markets – infinite-dimensional modelling and simulation
- Cylindrical Lévy processes in Banach spaces
- Efficient Solvers for a Linear Stochastic Galerkin Mixed Formulation of Diffusion Problems with Random Data
- The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
- Normal Variance-Mean Mixtures and z Distributions
- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- Error Bounds for Numerical Inversion of a Probability Characteristic Function
- The normal inverse gaussian lévy process: simulation and approximation
- The Curious History of Faa di Bruno's Formula
- Simulation of stochastic partial differential equations using finite element methods
- COVARIANCE-PARAMETER LÉVY PROCESSES IN THE SPACE OF TRACE-CLASS OPERATORS
- Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise
- Simulation and approximation of Lévy-driven stochastic differential equations
- Integrability of multivariate subordinated Lévy processes in Hilbert space
- A Technique for Computing the PDFs and CDFs of Nonnegative Infinitely Divisible Random Variables
- Infinite Divisibility and Variance Mixtures of the Normal Distribution
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- Note on the inversion theorem
This page was built for publication: Approximation and simulation of infinite-dimensional Lévy processes