An extended Milstein scheme for effective weak approximation of diffusions.
CoRR, 2024
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications.
CoRR, 2024
Numerical Schemes for Effective Calibration of Elliptic and Hypo-elliptic Diffusions.
CoRR, 2022
Weak approximation of SDEs for tempered distributions and applications.
Adv. Comput. Math., 2022