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Approximation of quantiles of components of diffusion processes. - MaRDI portal

Approximation of quantiles of components of diffusion processes. (Q2574616)

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Approximation of quantiles of components of diffusion processes.
scientific article

    Statements

    title
    Approximation of quantiles of components of diffusion processes. (English)
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    author
    Ziyu Zheng
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    Denis Talay
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    publication date
    29 November 2005
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    zbMATH Keywords
    stochastic differential equation
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    Euler method
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    Monte Carlo method
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    simulation
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    Identifiers

    zbMATH DE Number
    2233808
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    OpenAlex ID
    W1975295794
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