Torquil Macdonald Sørensen, Fred Espen Benth. Levy Process Simulation by Stochastic Step Functions. SIAM J. Scientific Computing, 35(5), 2013. [doi]
@article{SorensenB13,
title = {Levy Process Simulation by Stochastic Step Functions},
author = {Torquil Macdonald Sørensen and Fred Espen Benth},
year = {2013},
doi = {10.1137/110851080},
url = {http://dx.doi.org/10.1137/110851080},
researchr = {https://researchr.org/publication/SorensenB13},
cites = {0},
citedby = {0},
journal = {SIAM J. Scientific Computing},
volume = {35},
number = {5},
}