50 citations · 137 across the 16 of their papers we have counts for
18 papers
Direct Inversion for Chi-Square Sampling, the Squared Bessel Process, and Applications
Simon J. A. Malham, Anke Wiese, Yifan Xu
In this paper we derive a new direct inversion method to simulate squared Bessel processes. Since the transition probability of these processes can be represented by a non-central…
The Exponential Lie Series and a Chen-Strichartz Formula for Levy Processes
Kurusch Ebrahimi-Fard, Frederic Patras, Anke Wiese
In this paper, we derive a Chen-Strichartz formula for stochastic differential equations driven by Levy processes, that is, we derive a series expansion of the logarithm of the flo…
Applications of Grassmannian flows to coagulation systems
Anastasia Doikou, Simon J. A. Malham, Ioannis Stylianidis +1
We demonstrate how many classes of Smoluchowski-type coagulation models can be realised as multiplicative Grassmannian flows and are therefore linearisable, and thus integrable in…
Series expansions and direct inversion for the Heston model
Simon J. A. Malham, Jiaqi Shen, Anke Wiese
Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is key to the simulation of the stock price based on its exact dis…
Time evolution in quantum systems and stochastics
Anastasia Doikou, Simon J. A. Malham, Anke Wiese
The time evolution problem for non-self adjoint second order differential operators is studied by means of the path integral formulation. Explicit computation of the path integral…
Applications of Grassmannian flows to integrable systems
Anastasia Doikou, Simon J. A. Malham, Ioannis Stylianidis +1
We show how many classes of partial differential systems with local and nonlocal nonlinearities are linearisable in the sense that they are realisable as Fredholm Grassmannian flow…