Pages that link to "Item:Q2748441"

The following pages link to Approximations of small jumps of Lévy processes with a view towards simulation (Q2748441):

Displaying 50 items.

• 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)
• A general approach to sample path generation of infinitely divisible processes via shot noise representation (Q2244430) (← links)
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199) (← links)
• Multilevel particle filters for Lévy-driven stochastic differential equations (Q2329798) (← links)
• Alpha-CIR model with branching processes in sovereign interest rate modeling (Q2364536) (← links)
• Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise (Q2371532) (← links)
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE (Q2430997) (← links)
• Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (Q2434751) (← links)
• Numerical techniques in Lévy fluctuation theory (Q2445476) (← links)
• Numerical inverse Lévy measure method for infinite shot noise series representation (Q2453198) (← links)
• Monte Carlo option pricing for tempered stable (CGMY) processes (Q2461281) (← links)
• Brownian approximation and Monte Carlo simulation of the non-cutoff Kac equation (Q2473357) (← links)
• On fractional tempered stable motion (Q2507646) (← links)
• A volatility-varying and jump-diffusion Merton type model of interest rate risk (Q2507948) (← links)
• The asymptotics of the clustering transition for random constraint satisfaction problems (Q2659305) (← links)
• Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation (Q2665547) (← links)
• Intermittency in the small-time behavior of Lévy processes (Q2670792) (← links)
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813) (← links)
• Monte Carlo method for parabolic equations involving fractional Laplacian (Q2692995) (← links)
• Series representations of Lévy processes from the perspective of point processes (Q2738738) (← links)
• Dependence estimation for high-frequency sampled multivariate CARMA models (Q2791841) (← links)
• Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications (Q2794727) (← links)
• Quantification of Model Risk in Quadratic Hedging in Finance (Q2801795) (← links)
• An Euler-Poisson scheme for Lévy driven stochastic differential equations (Q2804429) (← links)
• Lévy Processes with Two-Sided Reflection (Q2807248) (← links)
• Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes (Q2856036) (← links)
• The α-Dependence of Stochastic Differential Equations Driven by Variants of α-Stable Processes (Q2890080) (← links)
• Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286) (← links)
• Lévy Processes, Phase-Type Distributions, and Martingales (Q2937469) (← links)
• Nonnormal Small Jump Approximation of Infinitely Divisible Distributions (Q2939262) (← links)
• AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING (Q2947345) (← links)
• Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise (Q2956053) (← links)
• Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes (Q2957022) (← links)
• On Exact Sampling of Nonnegative Infinitely Divisible Random Variables (Q3167341) (← links)
• Diffusion approximation of Lévy processes with a view towards finance (Q3168628) (← links)
• On Approximations of Small Jumps of Subordinators with Particular Emphasis on a Dickman-Type Limit (Q3182429) (← links)
• Optimal simulation schemes for Lévy driven stochastic differential equations (Q3189423) (← links)
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS (Q3423398) (← links)
• The Multilevel Monte Carlo method used on a Lévy driven SDE (Q3580728) (← links)
• On Error Rates in Normal Approximations and Simulation Schemes for Lévy Processes (Q4424866) (← links)
• Series representation and simulation of multifractional Lévy motions (Q4464171) (← links)
• Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part II: Schemes and Experiments (Q4562245) (← links)
• Monte Carlo Methods for Radiative Transfer with Singular Kernels (Q4568104) (← links)
• Pricing participating policies under the Meixner process and stochastic volatility (Q4577195) (← links)
• A multi-dimensional central limit bound and its application to the euler approximation for Lévy-SDEs (Q4629952) (← links)
• Random spectral measure for non Gaussian moving averages (Q4638717) (← links)
• Normal convergence using Malliavin calculus with applications and examples (Q4639174) (← links)
• Valuing Bermudan options when asset returns are Lévy processes (Q4647599) (← links)