Pages that link to "Item:Q1917196"
From MaRDI portal
The following pages link to Exact asymptotics for the probability of exit from a domain and applications to simulation (Q1917196):
Displaying 23 items.
- The snapping out Brownian motion (Q303968) (← links)
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995) (← links)
- Multiresolution Hilbert approach to multidimensional Gauss-Markov processes (Q413918) (← links)
- Simulation of stopped diffusions (Q703771) (← links)
- Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees (Q834101) (← links)
- Diffusion transformations, Black-Scholes equation and optimal stopping (Q1617159) (← links)
- Binomial approximation of Brownian motion and its maximum (Q1771464) (← links)
- Weak approximation of killed diffusion using Euler schemes. (Q1877395) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- The PDD method for solving linear, nonlinear, and fractional PDEs problems (Q2050309) (← links)
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems (Q2132650) (← links)
- Stopped diffusion processes: boundary corrections and overshoot (Q2267543) (← links)
- Large deviations of conditioned diffusions and applications (Q2301479) (← links)
- Digital barrier options pricing: an improved Monte Carlo algorithm (Q2398005) (← links)
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps (Q2446752) (← links)
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (Q2485773) (← links)
- Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes (Q2516390) (← links)
- On Sharp Large Deviations for the Bridge of a General Diffusion (Q2798589) (← links)
- An improved technique for the simulation of first passage times for diffusion processes (Q4488761) (← links)
- Euler schemes and half-space approximation for the simulation of diffusion in a domain (Q4534853) (← links)
- Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models (Q5022544) (← links)
- COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS (Q5148005) (← links)
- Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes (Q5326101) (← links)
