On extension of the Markov chain approximation method for computing Feynman-Kac type expectations
DOI10.1007/978-3-031-47417-0_20zbMATH Open1548.60113MaRDI QIDQ6630460
K. Borovkov, Author name not available (Why is that?)
Publication date: 31 October 2024
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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