Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges (Q1722530)
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scientific article; zbMATH DE number 7024272
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges |
scientific article; zbMATH DE number 7024272 |
Statements
Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges (English)
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18 February 2019
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sampling Brownian motion
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dimension reduction
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bond pricing
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