50 citations · 202 across the 30 of their papers we have counts for
3 papers · 1 filter
Algebraic structure of stochastic expansions and efficient simulation
Kurusch Ebrahimi-Fard, Alexander Lundervold, Simon J. A. Malham +2
We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators.…
Evans function and Fredholm determinants
Issa Karambal, Simon J. A Malham
We explore the relationship between the Evans function, transmission coefficient and Fredholm determinant for systems of first order linear differential operators on the real line.…
Efficient almost-exact Levy area sampling
Simon J. A. Malham, Anke Wiese
We present a new method for sampling the Levy area for a two-dimensional Wiener process conditioned on its endpoints. An efficient sampler for the Levy area is required to implemen…