Follow
Anke Wiese
Title
Cited by
Cited by
Year
Stochastic Lie group integrators
SJA Malham, A Wiese
SIAM Journal on Scientific Computing 30 (2), 597-617, 2008
792008
Efficient strong integrators for linear stochastic systems
G Lord, SJA Malham, A Wiese
SIAM journal on numerical analysis 46 (6), 2892-2919, 2008
412008
Efficient almost-exact Lévy area sampling
SJA Malham, A Wiese
Statistics & Probability Letters 88, 50-55, 2014
292014
An introduction to SDE simulation
SJA Malham, A Wiese
arXiv preprint arXiv:1004.0646, 2010
282010
Algebraic structure of stochastic expansions and efficient simulation
K Ebrahimi-Fard, A Lundervold, SJA Malham, H Munthe-Kaas, A Wiese
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2012
272012
Flows and stochastic Taylor series in Itô calculus
K Ebrahimi-Fard, SJA Malham, F Patras, A Wiese
Journal of Physics A: Mathematical and Theoretical 48 (49), 495202, 2015
242015
Flows and stochastic Taylor series in Itô calculus
K Ebrahimi-Fard, SJA Malham, F Patras, A Wiese
Journal of Physics A: Mathematical and Theoretical 48 (49), 495202, 2015
242015
Chi-square simulation of the CIR process and the Heston model
SJA Malham, A Wiese
International journal of theoretical and applied finance 16 (03), 1350014, 2013
242013
The exponential Lie series for continuous semimartingales
K Ebrahimi-Fard, SJA Malham, F Patras, A Wiese
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2015
202015
Stochastic expansions and Hopf algebras
SJA Malham, A Wiese
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2009
202009
Lévy processes and quasi-shuffle algebras
C Curry, K Ebrahimi-Fard, SJA Malham, A Wiese
Stochastics An International Journal of Probability and Stochastic Processes …, 2014
122014
Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis1
R Korn, A Wiese
ASTIN Bulletin: The Journal of the IAA 38 (2), 423-440, 2008
102008
Applications of Grassmannian flows to integrable systems
A Doikou, SJA Malham, I Stylianidis, A Wiese
arXiv preprint arXiv:1905.05035, 2019
72019
Algebraic structures and stochastic differential equations driven by Lévy processes
C Curry, K Ebrahimi–Fard, SJA Malham, A Wiese
Proceedings of the Royal Society A 475 (2221), 20180567, 2019
72019
Stochastic analysis & discrete quantum systems
A Doikou, SJA Malham, A Wiese
Nuclear Physics B 945, 114658, 2019
62019
Positive and implicit stochastic volatility simulation
W Halley, SJA Malham, A Wiese
arXiv preprint arXiv:0802.4411, 2008
62008
Hedging stochastischer Verpflichtungen in zeitstetigen Modellen
A Wiese
Verlag Versicherungswirtsch., 1998
61998
Positive stochastic volatility simulation
W Halley, SJA Malham, A Wiese
arXiv preprint arXiv:0802.4411, 2008
52008
Hedging stochastischer Verpflichtungen
A Wiese
Workshop on Discrete Stochastic Models, 1995
51995
Applications of Grassmannian and graph flows to coagulation systems
A Doikou, SJA Malham, I Stylianidis, A Wiese
arXiv preprint arXiv:2201.05487, 2022
42022
The system can't perform the operation now. Try again later.
Articles 1–20