Approximation and simulation of infinite-dimensional Lévy processes
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Publication:1617261
DOI10.1007/s40072-017-0109-2zbMath1402.60054arXiv1612.05541OpenAlexW2611965631MaRDI QIDQ1617261
Publication date: 7 November 2018
Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.05541
stochastic partial differential equationsKarhunen-Loève expansionsubordinated processesinfinite-dimensional Lévy processes
Related Items (11)
Numerical analysis for time-dependent advection-diffusion problems with random discontinuous coefficients ⋮ Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions ⋮ Subordinated Gaussian random fields in elliptic partial differential equations ⋮ On some distributional properties of subordinated Gaussian random fields ⋮ On properties and applications of Gaussian subordinated Lévy fields ⋮ Point process simulation of generalised hyperbolic Lévy processes ⋮ A Multilevel Monte Carlo Algorithm for Parabolic Advection-Diffusion Problems with Discontinuous Coefficients ⋮ A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients ⋮ Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge ⋮ Multilevel Monte Carlo estimators for elliptic PDEs with Lévy-type diffusion coefficient
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