Random Generation of Stochastic Area Integrals
From MaRDI portal
Recommendations
- A stochastic integral representation for random evolutions
- scientific article; zbMATH DE number 2046073
- scientific article; zbMATH DE number 2118843
- Stochastic processes that generate polygonal and related random fields
- Approximating random variables by stochastic integrals
- A stochastic scheme for solving definite integrals
- Stochastic areas of diffusions and applications
- Generating probability distributions on intervals and spheres with application to finite element method
- scientific article; zbMATH DE number 19585
Cited in
(46)- An adaptive timestepping algorithm for stochastic differential equations.
- Analysis of stochastic numerical schemes for the evolution equations of geophysics
- On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
- Product expansion for stochastic jump diffusions and its application to numerical approximation
- Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
- On the simulation of iterated Itô integrals.
- Discrete-time approximations of stochastic delay equations: the Milstein scheme.
- An efficient approximation method for stochastic differential equations by means of the exponential Lie series
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
- Time-dependent probability density function for general stochastic logistic population model with harvesting effort
- Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises
- Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
- Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
- Efficient almost-exact Lévy area sampling
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
- Unbiased estimation with square root convergence for SDE models
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- A Variable Step Size Riemannian Sum for an Itô Integral
- Higher-order time integration of Coulomb collisions in a plasma using Langevin equations
- A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
- Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations
- Approximating systems of differential equations with random inputs or boundary conditions
- Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
- scientific article; zbMATH DE number 7318972 (Why is no real title available?)
- SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
- HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX
- scientific article; zbMATH DE number 7627965 (Why is no real title available?)
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion
- scientific article; zbMATH DE number 7644507 (Why is no real title available?)
- Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
- TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- A new proof of the expansion of iterated Itô stochastic integrals with respect to the components of a multidimensional Wiener process based on generalized multiple Fourier series and Hermite polynomials
- Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral
- High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
- Simulation of two-step order 2 implicit strong method for approximating Stratonovich stochastic differential equations
- A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space
- Generative modeling of Lévy area for high order SDE simulation
- Transition probability density function for number of infections in a population satisfying a stochastic SIS-epidemic model
- A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space. II
- Multilevel Monte Carlo simulation of Coulomb collisions
- SDELab: A package for solving stochastic differential equations in MATLAB
This page was built for publication: Random Generation of Stochastic Area Integrals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4310870)