Hybrid simulation scheme for volatility modulated moving average fields
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Publication:1997699
DOI10.1016/j.matcom.2019.04.006OpenAlexW2751467182MaRDI QIDQ1997699
Almut E. D. Veraart, Mikko S. Pakkanen, Claudio Heinrich
Publication date: 2 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.01310
Markov processes (60Jxx) Stochastic processes (60Gxx) Probability theory and stochastic processes (60-XX)
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