Euler–Poisson Schemes for Lévy Processes
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-319-51753-7_18
Reference9 articles.
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3. R.A. Doney, “Stochastic bounds for Lévy processes”, Ann. Probab. 32 (2) (2004), 1545–1552.
4. A. Ferreiro-Castilla, A.E. Kyprianou, R. Scheichl, and G. Suryanarayana, “Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorization”, Stochastic Process. Appl. 124 (2) (2014), 985–1010.
5. A. Ferreiro-Castilla and K. van Schaik, “Applying the Wiener–Hopf Monte Carlo simulation technique for Lévy processes to path functionals”, J. Appl. Probab. 52 (1) (2015), 129–148.
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