Simulating elliptic diffusions and orthogonal invariance
Probability
2023-07-03 v1 Numerical Analysis
Numerical Analysis
Abstract
We study numerical methods for simulating diffusions that exploit the orthogonal invariance of the Gaussian law, building on the work of Cruzeiro, Malliavin and Thalmeier.
Cite
@article{arxiv.2306.17671,
title = {Simulating elliptic diffusions and orthogonal invariance},
author = {Charles Curry},
journal= {arXiv preprint arXiv:2306.17671},
year = {2023}
}