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arXiv · 2306.17671

Simulating elliptic diffusions and orthogonal invariance

Charles Curry
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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.

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Charles Curry. 2023-06-30. Simulating elliptic diffusions and orthogonal invariance. https://arxiv.org/abs/2306.17671

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