Simulation of stopped diffusions (Q703771)
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scientific article; zbMATH DE number 2126430
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation of stopped diffusions |
scientific article; zbMATH DE number 2126430 |
Statements
Simulation of stopped diffusions (English)
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11 January 2005
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Stopped diffusions
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Stochastic differential equations
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Weak approximation
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Dirichlet problems
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Monte-Carlo simulations
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Comparison of methods
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Brownian motion
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Numerical experiments
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Algorithm
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0.9067571
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0.8944658
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0.88499045
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0.88201463
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0.8817811
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