Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714): Difference between revisions

@@ Property / cites work @@
+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Discretization error in simulation of one-dimensional reflecting Brownian motion
+Normal rank
@@ Property / cites work @@
+Exact asymptotics for the probability of exit from a domain and applications to simulation
+Normal rank
@@ Property / cites work @@
+Retrospective exact simulation of diffusion sample paths with applications
+Normal rank
@@ Property / cites work @@
+A factorisation of diffusion measure and finite sample path constructions
+Normal rank
@@ Property / cites work @@
+Exact simulation of diffusions
@@ Property / cites work: Exact simulation of diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Exact simulation of jump-diffusion processes with Monte Carlo applications
+Normal rank
@@ Property / cites work @@
+A Random Walk and a Wiener Process Near a Maximum
@@ Property / cites work: A Random Walk and a Wiener Process Near a Maximum / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Estimation of the diffusion coefficient from crossings
+Normal rank
@@ Property / cites work @@
+Exact Sampling of Jump Diffusions
@@ Property / cites work: Exact Sampling of Jump Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Q3504233
@@ Property / cites work: Q3504233 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3923307
@@ Property / cites work: Q3923307 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
+Normal rank
@@ Property / cites work @@
+Q4088180
@@ Property / cites work: Q4088180 / rank @@
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Brownian motion, bridge excursion, and meander characterized by sampling at independent uniform times
+Normal rank
@@ Property / cites work @@
+Q5687111
@@ Property / cites work: Q5687111 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3763296
@@ Property / cites work: Q3763296 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
+Normal rank
@@ Property / cites work @@
+On the first passage time distribution of an Ornstein–Uhlenbeck process
+Normal rank