Blar i NTNU Open på forfatter "Wiese, Anke"
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Algebraic structures and stochastic differential equations driven by Levy processes
Curry, Charles Henry Alexander; Ebrahimi-Fard, Kurusch; Malham, Simon J. A.; Wiese, Anke (Peer reviewed; Journal article, 2019)We construct an efficient integrator for stochastic differential systems driven by Lévy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, ...