SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Stopped diffusion processes: Boundary corrections and overshoot · Study

ArticleShelves

ArticleStopped diffusion processes: Boundary corrections and overshoot

Emmanuel Gobet A2009

OA

Articlebronze2009

Stopped diffusion processes: Boundary corrections and overshoot

Emmanuel Gobet A · Stéphane Menozzi B

70 citations·0/0 files stored·Stochastic Processes and their Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Stochastic processes and statistical mechanics Numerical methods for differential equations

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 70 citations exist upstream.

References

1999Continuous Martingales and Brownian Motion 1997A Continuity Correction for Discrete Barrier Options 2000Weak approximation of killed diffusion using Euler schemes 1979Corrected diffusion approximations in certain random walk problems 1995Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion 2006Overshoots and undershoots of Lévy processes 2005Overshoots and undershoots of Levy processes 2009On irregular functionals of SDEs and the Euler scheme

Cited by

2012Simulating diffusion processes in discontinuous media: A numerical scheme with constant time steps 2013Mean Exit Times and the Multilevel Monte Carlo Method 2014Almost sure optimal hedging strategy

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Advanced Monte Carlo Methods for Barrier and Related Exotic Optionschapter · 4 shared references 2004Heavy Traffic Limits for Queues with Many Deterministic Serversarticle · 3 shared references 2007Chapter 8 Discrete Barrier and Lookback Optionschapter · 3 shared references 2000Weak approximation of killed diffusion using Euler schemesarticle · 2 shared references 2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Optionsarticle · 2 shared references 2007Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Processarticle · 2 shared references

Details

Year2009

Typearticle

Published2009-10-05

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations70

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2009.09.014

openalex_workW1999844375

Links

Imported from OpenAlex (CC0) — nothing here is generated.