Algebraic structures in stochastic differential equations
We define a new numerical integration scheme for stochastic differential equations driven by Levy processes with uniformly lower mean square remainder than that of the scheme of the same strong order of convergence obtained by truncating the stochastic Taylor series. In doing so we generalize recent...
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Heriot-Watt University
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.650563 |