On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272): Difference between revisions
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Revision as of 00:52, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions |
scientific article |
Statements
On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (English)
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1 April 2016
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jump diffusions
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stochastic differential equations
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simulation
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adaptive exact algorithms
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barrier crossing probabilities
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Brownian path space probabilities
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first hitting times
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killed diffusions
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