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math.PR2020
On generating fully discrete samples of the stochastic heat equation on an interval
Florian Hildebrandt
Generalizing an idea of Davie and Gaines (2001), we present a method for the simulation of fully discrete samples of the solution to the stochastic heat equation on an interval. We…
math.PR2017
Pinned diffusions and Markov bridges
Florian Hildebrandt, Sylvie Rœlly
In this article we consider a family of real-valued diffusion processes on the time interval indexed by their prescribed initial value and another point…