On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients

Publication date: 3 November 2006

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/127427

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Diffusion processes (60J60)

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