Simulation of stopped diffusions
type: Item
instance of: scholarly article
title: Simulation of stopped diffusions
zbMATH Open document ID: 1063.65008
author: F. M. Buchmann
published in: Journal of Computational Physics
publication date: 2005-01-11T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 2126430
zbMATH Keywords: Stopped diffusions
zbMATH Keywords: Stochastic differential equations
zbMATH Keywords: Weak approximation
zbMATH Keywords: Dirichlet problems
zbMATH Keywords: Monte-Carlo simulations
zbMATH Keywords: Comparison of methods
zbMATH Keywords: Brownian motion
zbMATH Keywords: Numerical experiments
zbMATH Keywords: Algorithm
MaRDI profile type: Publication
full work available at URL: j.jcp.2004.07.009
OpenAlex ID: W2010897718
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DOI: 10.1016/J.JCP.2004.07.009
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description: scientific article; zbMATH DE number 2126430