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12/22/2020
An algorithm for simulating Brownian increments on a sphere
This paper presents a novel formula for the transition density of the Br...
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10/29/2019
ε-strong simulation of the convex minorants of stable processes and meanders
Using marked Dirichlet processes we characterise the law of the convex m...
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10/25/2018
Geometrically Convergent Simulation of the Extrema of Lévy Processes
We develop a novel Monte Carlo algorithm for the simulation from the joi...
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06/05/2018