Universal Monte Carlo method for Lévy processes and their extrema
type: Item
instance of: scholarly article
title: Universal Monte Carlo method for Lévy processes and their extrema
DOI: 10.20310/2686-9667-2024-29-147-233-243
author: A. S. Grechko
author: Oleg Kudryavtsev
published in: Vestnik Rossiĭskikh Universitetov. Matematika
publication date: 2024-11-28T00:00:00Z
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 7950731
zbMATH Keywords: Lévy processes
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: extremum processes
zbMATH Keywords: integral transforms
zbMATH Keywords: Wiener-Hopf factorization
MaRDI profile type: Publication
cites work: Q4937701
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description: scientific article; zbMATH DE number 7950731