50 citations · 202 across the 30 of their papers we have counts for
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math.PR2008★ 13 cited
Stochastic expansions and Hopf algebras
Simon J. A. Malham, Anke Wiese
We study solutions to nonlinear stochastic differential systems driven by a multi-dimensional Wiener process. A useful algorithm for strongly simulating such stochastic systems is…
math.DS2008★ 16 cited
Computing stability of multi-dimensional travelling waves
Veerle Ledoux, Simon J. A. Malham, Jitse Niesen +1
We present a numerical method for computing the pure-point spectrum associated with the linear stability of multi-dimensional travelling fronts to parabolic nonlinear systems. Our…
q-fin.CP2008
Chi-square simulation of the CIR process and the Heston model
Simon J. A. Malham, Anke Wiese
The transition probability of a Cox-Ingersoll-Ross process can be represented by a non-central chi-square density. First we prove a new representation for the central chi-square de…