On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3101800103 / rank | |||
Normal rank | |||
Latest revision as of 09:30, 30 July 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)
0 references
1 April 2016
0 references
jump diffusions
0 references
stochastic differential equations
0 references
simulation
0 references
adaptive exact algorithms
0 references
barrier crossing probabilities
0 references
Brownian path space probabilities
0 references
first hitting times
0 references
killed diffusions
0 references
0 references
0 references
0 references
