This package implements state-of-the-art methods for the simulation of iterated stochastic integrals. These appear e.g. in higher order algorithms for the solution of stochastic (partial) differential ...
Abstract: The stochastic Taylor expansion for SDEs has motivated the study of high order iterated integrals of Brownian motion (e.g. Ben Arous 89′, Kloeden and Platen 92′). The literature has mostly ...
Abstract: Motivated by recently obtained factorizations of characteristic functions of some classes of time-delay systems admitting a root with the largest possible multiplicity in terms of Kummer ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results