Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges
type: Item
instance of: scholarly article
title: Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges
zbMATH Open document ID: 1407.65012
DOI: 10.1007/978-3-319-91436-7_19
author: Adam W. Kolkiewicz
publication date: 2019-02-18T00:00:00Z
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7024272
zbMATH Keywords: sampling Brownian motion
zbMATH Keywords: dimension reduction
zbMATH Keywords: bond pricing
MaRDI profile type: Publication
full work available at URL: 978-3-319-91436-7 19
OpenAlex ID: W2810228816
description: scientific article; zbMATH DE number 7024272