Stochastic simulation: Algorithms and analysis

MaRDI QIDQ2644072zbMATH OpenFDO

Authors Peter W. Glynn, Søren Asmussen

Publication date 7 September 2007

Published in Stochastic Modelling and Applied Probability (Search for Journal in Brave)

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Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
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Efficient Monte Carlo simulation for integral functionals of Brownian motion
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