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Exact Simulation for Multivariate It\^o Diffusions - MaRDI portal

Exact Simulation for Multivariate It\^o Diffusions

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Publication:6287912

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DOI10.1017/APR.2020.39arXiv1706.05124MaRDI QIDQ6287912

Jose H. Blanchet, Fan Zhang

Publication date: 15 June 2017

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

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