27 citations · 76 across the 9 of their papers we have counts for
4 papers · 1 filter
Simulating elliptic diffusions and orthogonal invariance
Charles Curry
We study numerical methods for simulating diffusions that exploit the orthogonal invariance of the Gaussian law, building on the work of Cruzeiro, Malliavin and Thalmeier.
Quasi-shuffle algebras and renormalisation of rough differential equations
Yvain Bruned, Charles Curry, Kurusch Ebrahimi-Fard
The objective of this work is to compare several approaches to the process of renormalisation in the context of rough differential equations using the substitution bialgebra on roo…
Algebraic Structures and Stochastic Differential Equations driven by Levy processes
Charles Curry, Kurusch Ebrahimi-Fard, Simon J. A. Malham +1
We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the…
Levy Processes and Quasi-Shuffle Algebras
Charles Curry, Kurusch Ebrahimi-Fard, Simon J. A. Malham +1
We investigate the algebra of repeated integrals of semimartingales. We prove that a minimal family of semimartingales generates a quasi-shuffle algebra. In essence, to fulfill the…