Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714)
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scientific article; zbMATH DE number 6141242
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Brownian meanders, importance sampling and unbiased simulation of diffusion extremes |
scientific article; zbMATH DE number 6141242 |
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Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (English)
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5 March 2013
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stochastic differential equations
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exact simulations
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importance sampling
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extreme values
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0.799248218536377
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0.7540276646614075
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0.7514764070510864
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0.7422468066215515
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