Exact scenario simulation for selected multi-dimensional stochastic processes

MaRDI QIDQ2790518zbMATH OpenFDO

Authors Eckhard Platen, Renata Rendek

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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