Stochastic expansions and Hopf algebras
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Publication:4931057
DOI10.1098/rspa.2009.0203zbMath1195.60080arXiv0805.2340OpenAlexW3105647143MaRDI QIDQ4931057
Anke Wiese, Simon J. A. Malham
Publication date: 2 October 2010
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0805.2340
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Hopf algebras and their applications (16T05)
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The non-commutative Korteweg-de Vries hierarchy and combinatorial Pöppe algebra ⋮ On explicit local solutions of Itô diffusions ⋮ Lévy processes and quasi-shuffle algebras ⋮ Geometric Euler--Maruyama Schemes for Stochastic Differential Equations in SO(n) and SE(n) ⋮ CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes
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