Controlling the time discretization bias for the supremum of Brownian motion (Q6583735)
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scientific article; zbMATH DE number 7892840
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Controlling the time discretization bias for the supremum of Brownian motion |
scientific article; zbMATH DE number 7892840 |
Statements
Controlling the time discretization bias for the supremum of Brownian motion (English)
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6 August 2024
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Brownian motion
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rare-event simulation
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continuity correction
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discretization error
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hitting time
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optimal discretization
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0.714307963848114
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0.710659921169281
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0.6978446245193481
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0.6866323947906494
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