Exact Monte Carlo simulation of killed diffusions (Q5387088): Difference between revisions

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+A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
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+Stochastic simulation: Algorithms and analysis
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+Exact simulation of diffusions
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+Retrospective exact simulation of diffusion sample paths with applications
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+A factorisation of diffusion measure and finite sample path constructions
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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+A symmetrized Euler scheme for an efficient approximation of reflected diffusions
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+Pricing and Hedging Path-Dependent Options Under the CEV Process
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+Heuristic Approach to the Kolmogorov-Smirnov Theorems
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+Particle Filters for Partially Observed Diffusions
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+Weak approximation of killed diffusion using Euler schemes.
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+Euler schemes and half-space approximation for the simulation of diffusion in a domain
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+Euler scheme for reflected stochastic differential equations
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+Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
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+Boundary crossing probability for Brownian motion
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