Pages that link to "Item:Q1916474"
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The following pages link to Discretization error in simulation of one-dimensional reflecting Brownian motion (Q1916474):
Displaying 48 items.
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
- On asymptotic constants in the theory of extremes for Gaussian processes (Q396021) (← links)
- Approximations of non-smooth integral type functionals of one dimensional diffusion processes (Q401462) (← links)
- Adaptive approximation of the minimum of Brownian motion (Q511112) (← links)
- Asymptotics of the maximum of Brownian motion under Erlangian sampling (Q740461) (← links)
- Steady-state simulation of reflected Brownian motion and related stochastic networks (Q894805) (← links)
- A factorisation of diffusion measure and finite sample path constructions (Q937166) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes (Q1002156) (← links)
- Ladder heights, Gaussian random walks and the Riemann zeta function (Q1356367) (← links)
- A numerical scheme for BSDEs (Q1431562) (← links)
- Zooming in on a Lévy process at its supremum (Q1650094) (← links)
- Lower bound on complexity of optimization of continuous functions (Q1888381) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- A broad view of queueing theory through one issue (Q1992141) (← links)
- Discretization error for a two-sided reflected Lévy process (Q1992150) (← links)
- The value of the high, low and close in the estimation of Brownian motion (Q2040943) (← links)
- Adaptive quantile computation for Brownian bridge in change-point analysis (Q2072415) (← links)
- Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\) (Q2082686) (← links)
- Piecewise-tunneled captive processes and corridored random particle systems (Q2096923) (← links)
- Optimal estimation of the supremum and occupation times of a self-similar Lévy process (Q2136630) (← links)
- Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk (Q2139110) (← links)
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid (Q2201489) (← links)
- Stopped diffusion processes: boundary corrections and overshoot (Q2267543) (← links)
- On logarithmically optimal exact simulation of max-stable and related random fields on a compact set (Q2325347) (← links)
- Multilevel Monte Carlo for exponential Lévy models (Q2412390) (← links)
- On Lerch's transcendent and the Gaussian random walk (Q2455051) (← links)
- Cumulants of the maximum of the Gaussian random walk (Q2464856) (← links)
- Filtering of a reflected Brownian motion with respect to its local time (Q2490046) (← links)
- Retrospective exact simulation of diffusion sample paths with applications (Q2642805) (← links)
- Extreme order statistics of random walks (Q2686605) (← links)
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions (Q2750962) (← links)
- On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process (Q3108472) (← links)
- Connecting discrete and continuous lookback or hindsight options in exponential Lévy models (Q3111060) (← links)
- LIMITED TIME SERIES WITH A UNIT ROOT (Q3375345) (← links)
- Adaptive weak approximation of reflected and stopped diffusions (Q3564644) (← links)
- First passage times of a jump diffusion process (Q4449508) (← links)
- Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
- Strong approximation of stochastic processes at random times and application to their exact simulation (Q4584675) (← links)
- Newton Method for Stochastic Control Problems (Q5039281) (← links)
- Geometrically Convergent Simulation of the Extrema of Lévy Processes (Q5085135) (← links)
- Captive diffusions and their applications to order-preserving dynamics (Q5161083) (← links)
- Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary (Q5193442) (← links)
- Platform modelling and scheduling game with multiple intelligent cloud-computing pools for big data (Q5861068) (← links)
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions (Q6104015) (← links)
- Captive jump processes for bounded random systems with discontinuous dynamics (Q6144132) (← links)
- Lower bound for the expected supremum of fractional brownian motion using coupling (Q6148873) (← links)
- Lévy processes conditioned to stay in a half-space with applications to directional extremes (Q6157629) (← links)