Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges
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Publication:1722530
DOI10.1007/978-3-319-91436-7_19zbMath1407.65012OpenAlexW2810228816MaRDI QIDQ1722530
Publication date: 18 February 2019
Full work available at URL: https://doi.org/10.1007/978-3-319-91436-7_19
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
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