2 papers
stat.CO2024
Direct Inversion for 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…
math.PR2024
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…