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  • Search: subject:"Stochastic integrals and differential equations with stable integrators"
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Computer simulation 1 Diffusions with jumps 1 Stable Lévy motion 1 Stable random measures 1 Statistical estimation 1 Stochastic integrals and differential equations with stable integrators 1
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Janicki, Aleksander 1
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Mathematics and Computers in Simulation (MATCOM) 1
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Computer simulation of diffusions driven by α-stable Lévy motion
Janicki, Aleksander - In: Mathematics and Computers in Simulation (MATCOM) 38 (1995) 1, pp. 97-101
In this paper we demonstrate that with the use of numerical discretization methods and computer simulation techniques it is possible to construct approximations of stochastic integrals with integrators defined by α-stable (stable) Lévy motion. As a consequence, solving numerically stochastic...
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