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math.PR2021★ 9 cited
Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
James Foster, Karen Habermann
We study approximations for the Lévy area of Brownian motion which are based on the Fourier series expansion and a polynomial expansion of the associated Brownian bridge. Comparing…
math.PR2019★ 7 cited
An asymptotic radius of convergence for the Loewner equation and simulation of traces via splitting
James Foster, Terry Lyons, Vlad Margarint
In this paper, we shall study the convergence of Taylor approximations for the backward Loewner differential equation (driven by Brownian motion) near the origin. More concretely,…