An Optimal Polynomial Approximation of Brownian Motion-Reference-Cited by-同舟云学术

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An Optimal Polynomial Approximation of Brownian Motion

Published:2020-01 Issue:3 Volume:58 Page:1393-1421
ISSN:0036-1429
Container-title:SIAM Journal on Numerical Analysis
language:en
Short-container-title:SIAM J. Numer. Anal.

Author:

Foster James,Lyons Terry,Oberhauser Harald

Funder

Oxford-Man Institute

Alan Turing Institute

Engineering and Physical Sciences Research Council

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Numerical Analysis,Applied Mathematics,Computational Mathematics

Link

https://epubs.siam.org/doi/pdf/10.1137/19M1261912

Reference20 articles.

1. An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

2. A multiscale guide to Brownian motion

3. Stochastic Lie Group Integrators

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