Pages that link to "Item:Q2748441"
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The following pages link to Approximations of small jumps of Lévy processes with a view towards simulation (Q2748441):
Displaying 50 items.
- On simulation of tempered stable random variates (Q61358) (← links)
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes (Q259571) (← links)
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver (Q265658) (← links)
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- Approximations of stochastic partial differential equations (Q303950) (← links)
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
- A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
- Calculations of greeks for jump diffusion processes (Q493354) (← links)
- Higher order fractional stable motion: hyperdiffusion with heavy tails (Q503384) (← links)
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes (Q518863) (← links)
- A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (Q550167) (← links)
- Approximation of the distribution of a stationary Markov process with application to option pricing (Q605850) (← links)
- Jump-adapted discretization schemes for Lévy-driven SDEs (Q607278) (← links)
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (Q625306) (← links)
- Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction (Q627246) (← links)
- On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
- The \(\beta \)-variance gamma model (Q660161) (← links)
- Berry-Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables (Q765880) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Discretisation of FBSDEs driven by càdlàg martingales (Q892339) (← links)
- Robustness of quadratic hedging strategies in finance via Fourier transforms (Q898933) (← links)
- On the supremum of the spectrally negative stable process with drift (Q900970) (← links)
- Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps (Q901242) (← links)
- Computation of the invariant measure for a Lévy driven SDE: Rate of convergence (Q936396) (← links)
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
- A general framework for simulation of fractional fields (Q947149) (← links)
- Small-time moment asymptotics for Lévy processes (Q958971) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes (Q1019617) (← links)
- Short-term risk management using stochastic Taylor expansions under Lévy models (Q1413347) (← links)
- Regularity and stability for the semigroup of jump diffusions with state-dependent intensity (Q1617154) (← links)
- Approximation and simulation of infinite-dimensional Lévy processes (Q1617261) (← links)
- New methods of simulating Lévy processes (Q1620568) (← links)
- Intermittency of trawl processes (Q1640960) (← links)
- Zooming in on a Lévy process at its supremum (Q1650094) (← links)
- Nonparametric estimation for compound Poisson process via variational analysis on measures (Q1703856) (← links)
- Simulation of Student-Lévy processes using series representations (Q1729303) (← links)
- Stochastic systems with memory and jumps (Q1736185) (← links)
- Implications of parameter uncertainty on option prices (Q1958422) (← links)
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes (Q1980850) (← links)
- Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (Q2032212) (← links)
- Multiple yield curve modelling with CBI processes (Q2037767) (← links)
- Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps (Q2041829) (← links)
- Total variation distance between a jump-equation and its Gaussian approximation (Q2093315) (← links)
- Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences (Q2101467) (← links)
- On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators (Q2119658) (← links)
- Using moment approximations to study the density of jump driven SDEs (Q2144339) (← links)
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (Q2153520) (← links)
- Normal approximation of the solution to the stochastic heat equation with Lévy noise (Q2195558) (← links)
- Implementable coupling of Lévy process and Brownian motion (Q2239264) (← links)
