On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions |
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
