Albert Ferreiro-Castilla

most citedMultilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation

1 citations · 2 across the 3 of their papers we have counts for

collaborators

3 papers

math.PR2012★ 1 cited

Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation

Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl +1

In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this…

math.PR2010

Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities

Albert Ferreiro-Castilla, Frederic Utzet

We prove that certain quotients of entire functions are characteristic functions. Under some conditions, the probability measure corresponding to a characteristic function of that…

math.PR2010★ 1 cited

Lévy area for Gaussian processes: A double Wiener-Itô integral approach

Albert Ferreiro-Castilla, Frederic Utzet

Let ${X_{1} (t)}_{0 \leq t \leq 1}$ and ${X_{2} (t)}_{0 \leq t \leq 1}$ be two independent continuous centered Gaussian processes with covariance functions $R_{1}$ and $R_{2}$ . This pap…