Pages that link to "Item:Q1879510"

The following pages link to On the simulation of iterated Itô integrals. (Q1879510):

Displaying 29 items.

• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (Q421807) (← links)
• Iterated stochastic processes: simulation and relationship with high order partial differential equations (Q518860) (← links)
• Characterization of bistability for stochastic multistep methods (Q766224) (← links)
• Complexity and effective dimension of discrete Lévy areas (Q883328) (← links)
• SDELab: A package for solving stochastic differential equations in MATLAB (Q885951) (← links)
• The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method (Q1667600) (← links)
• On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (Q1713864) (← links)
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions (Q1872461) (← links)
• Discrete-time approximations of stochastic delay equations: the Milstein scheme. (Q1879854) (← links)
• Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises (Q2123648) (← links)
• Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme (Q2135071) (← links)
• Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion (Q2189180) (← links)
• The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms (Q2194701) (← links)
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes (Q2356605) (← links)
• Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory (Q2356881) (← links)
• Efficient almost-exact Lévy area sampling (Q2453869) (← links)
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (Q2511559) (← links)
• On the density of log-spot in the Heston volatility model (Q2638360) (← links)
• An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox (Q2700009) (← links)
• The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series (Q3305757) (← links)
• (Q4965807) (← links)
• 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 (Q4986658) (← links)
• HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX (Q5035343) (← links)
• A new approach to the series expansion of iterated Stratonovich stochastic integrals of arbitrary multiplicity with respect to components of the multidimensional Wiener process (Q5056183) (← links)
• (Q5071330) (← links)
• THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM (Q5204540) (← links)
• (Q5871683) (← links)
• Adaptive time-stepping Monte Carlo integration of Coulomb collisions (Q6155750) (← links)
• 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 (Q6569007) (← links)