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scientific article; zbMATH DE number 1777534 - MaRDI portal

scientific article; zbMATH DE number 1777534

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Publication:4543595

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zbMath0997.60085MaRDI QIDQ4543595

Antoine Lejay

Publication date: 8 August 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo methods skew Brownian motion scale function and speed measure excursions theory

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (4)

Some properties of doubly skewed CIR processes ⋮ A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients ⋮ Skew CIR process, conditional characteristic function, moments and bond pricing ⋮ First hitting times for doubly skewed Ornstein-Uhlenbeck processes

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