Discrete Sampling of Functionals of Ito Processes
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Publication:5423762
DOI10.1007/978-3-540-71189-6_19zbMath1154.60057OpenAlexW126302078MaRDI QIDQ5423762
Stéphane Menozzi, Emmanuel Gobet
Publication date: 31 October 2007
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_19
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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