Exact simulation of the first-passage time of diffusions (Q2316185)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact simulation of the first-passage time of diffusions |
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Exact simulation of the first-passage time of diffusions (English)
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26 July 2019
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first-passage time
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Brownian motion
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diffusion processes
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Girsanov's transformation
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exact simulation
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randomized algorithm
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