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math.PR2012
Comment on "The Stochastic Nonlinear Schrödinger Equation in "
Torquil Macdonald Sørensen
The paper "The Stochastic Nonlinear Schrödinger Equation in " \cite{debouard2003} gives an existence proof for a stochastic nonlinear Schrödinger equation with multiplicativ…
math.PR2011★ 3 cited
Levy process simulation by stochastic step functions
Torquil Macdonald Sørensen, Fred Espen Benth
We study a Monte Carlo algorithm for simulation of probability distributions based on stochastic step functions, and compare to the traditional Metropolis/Hastings method. Unlike t…