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math.NA2011★ 15 cited
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.…
math.PR2011
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…