Universal Monte Carlo method for Lévy processes and their extrema

DOI10.20310/2686-9667-2024-29-147-233-243MaRDI QIDQ6645006

Oleg Kudryavtsev, A. S. Grechko

Publication date: 28 November 2024

Published in: Vestnik Rossiĭskikh Universitetov. Matematika (Search for Journal in Brave)

zbMATH Keywords

integral transformsLévy processesMonte Carlo methodWiener-Hopf factorizationextremum processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05)

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