Discretization error in simulation of one-dimensional reflecting Brownian motion
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Publication:1916474
DOI10.1214/aoap/1177004597zbMath0853.65147OpenAlexW1994633475WikidataQ56906949 ScholiaQ56906949MaRDI QIDQ1916474
Peter W. Glynn, Soren Asmussen, Jim W. Pitman
Publication date: 8 July 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004597
Riemann zeta functionstochastic differential equationBessel processBrownian motionbiasEuler schemepath decompositionexcursionBessel bridgeSpitzer's identity
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Probabilistic methods, stochastic differential equations (65C99)
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