On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272)
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scientific article; zbMATH DE number 6562298
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| English | On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions |
scientific article; zbMATH DE number 6562298 |
Statements
On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (English)
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1 April 2016
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jump diffusions
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stochastic differential equations
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simulation
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adaptive exact algorithms
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barrier crossing probabilities
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Brownian path space probabilities
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first hitting times
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killed diffusions
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0.93386626
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0.90629464
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0.9041606
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0.8996573
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0.8933782
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0.89241266
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0.8920325
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0.89126384
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