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

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

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2 papers

math.NA2018

Strang splitting in combination with rank- and rank- lattices for the time-dependent Schrödinger equation

Yuya Suzuki, Gowri Suryanarayana, Dirk Nuyens

We approximate the solution for the time dependent Schrödinger equation (TDSE) in two steps. We first use a pseudo-spectral collocation method that uses samples of functions on ran…

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…