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Found 5 papers, 2 papers with code
A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
This paper develops a novel weak multilevel Monte-Carlo (MLMC) approximation scheme for L\'evy-driven Stochastic Differential Equations (SDEs).
Monte Carlo algorithm for the extrema of tempered stable processes
We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process.
An algorithm for simulating Brownian increments on a sphere
This paper presents a novel formula for the transition density of the Brownian motion on a sphere of any dimension and discusses an algorithm for the simulation of the increments of the spherical Brownian motion based on this formula.
Statistical Mechanics Numerical Analysis Numerical Analysis Probability 65C05
Non-asymptotic bounds for sampling algorithms without log-concavity
Finally, we provide a weak convergence analysis that covers both the standard and the randomised (inaccurate) drift case.
Exact Simulation of the Extrema of Stable Processes
We exhibit an exact simulation algorithm for the supremum of a stable process over a finite time interval using dominated coupling from the past (DCFTP).
Probability Computation
