Efficient Monte Carlo simulation for integral functionals of Brownian motion
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Publication:2442860
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Cited in
(10)- Unbiased Monte Carlo evaluation of certain functional integrals
- A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
- Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- Monte Carlo simulation of stochastic integrals when the cost of function evaluation is dimension dependent
- scientific article; zbMATH DE number 3932286 (Why is no real title available?)
- Monte Carlo computation of the Laplace transform of exponential Brownian functionals
- scientific article; zbMATH DE number 1301717 (Why is no real title available?)
- Efficient Monte Carlo for high excursions of Gaussian random fields
- Some evaluations for continuous Monte Carlo method by using Brownian hitting process
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