2 code implementations • 10 May 2024 • Andraž Jelinčič, James Foster, Patrick Kidger
With the aim of using high order SDE solvers adaptively, we extend the VBT to generate these integrals of BM in addition to the Brownian increments.
no code implementations • 4 Aug 2023 • Andraž Jelinčič, Jiajie Tao, William F. Turner, Thomas Cass, James Foster, Hao Ni
In this paper, we propose L\'{e}vyGAN, a deep-learning-based model for generating approximate samples of L\'{e}vy area conditional on a Brownian increment.
