Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges (Q1722530)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges |
scientific article |
Statements
Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges (English)
0 references
18 February 2019
0 references
sampling Brownian motion
0 references
dimension reduction
0 references
bond pricing
0 references
