Momte Carlo Simulation of killed diffusion (Q2708282)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Momte Carlo Simulation of killed diffusion |
scientific article |
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Momte Carlo Simulation of killed diffusion (English)
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17 April 2001
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Monte Carlo simulation
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killed diffusion
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stochastic differential equations
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first exit time
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convergence
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Euler and Milstein scheme
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