13 citations · 31 across the 10 of their papers we have counts for
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The heat modulated infinite dimensional Heston model and its numerical approximation
Fred Espen Benth, Gabriel Lord, Giulia Di Nunno +1
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite d…
Hilbert--Schmidt regularity of symmetric integral operators on bounded domains with applications to SPDE approximations
Mihály Kovács, Annika Lang, Andreas Petersson
Regularity estimates for an integral operator with a symmetric continuous kernel on a convex bounded domain are derived. The covariance of a mean-square continuous random field on…
Rapid covariance-based sampling of linear SPDE approximations in the multilevel Monte Carlo method
Andreas Petersson
The efficient simulation of the mean value of a non-linear functional of the solution to a linear stochastic partial differential equation (SPDE) with additive Gaussian noise is co…
Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations
Annika Lang, Andreas Petersson
The simulation of the expectation of a stochastic quantity E[Y] by Monte Carlo methods is known to be computationally expensive especially if the stochastic quantity or its approxi…