13 citations · 31 across the 10 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
math.NA2022★ 1 cited
Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs
Gabriel Lord, Andreas Petersson
Efficient simulation of stochastic partial differential equations (SPDE) on general domains requires noise discretization. This paper employs piecewise linear interpolation of nois…
math.PR2022★ 1 cited
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…