The study of stochastic differential equations (SDEs) has long been a cornerstone in the modelling of complex systems affected by randomness. In recent years, the extension to G-Brownian motion has ...
Fractional Lévy processes generalize fractional Brownian motion in a natural way. We go a step further and extend the usual fractional Riemann-Liouville kernel to a regularly varying function. We call ...
Generating sample paths of stochastic differential equations (SDE) using the Monte Carlo method finds wide applications in financial engineering. Discretization is a popular approximate approach to ...
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