Stopped diffusion processes: boundary corrections and overshoot
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Publication:2267543
DOI10.1016/j.spa.2009.09.014zbMath1186.60077arXiv0706.4042OpenAlexW1999844375MaRDI QIDQ2267543
Stéphane Menozzi, Emmanuel Gobet
Publication date: 1 March 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0706.4042
Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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