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ArticleSimulation of stopped diffusions

F.M. Buchmann2004

Article2004

Simulation of stopped diffusions

19 citations·0/0 files stored·Journal of Computational Physics

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

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References

2016Numerical solution of stochastic differential equations 1996Handbook of Brownian Motion — Facts and Formulae 2002Handbook of Brownian Motion - Facts and Formulae 2000Weak approximation of killed diffusion using Euler schemes 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain 1999Absorbing boundaries and optimal stopping in a stochastic differential equation 2002Asymptotics of hitting probabilities for general one-dimensional pinned diffusions 2000INTRODUCTION TO ITÔ CALCULUS

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Year2004

Typearticle

Published2004-08-31

VenueJournal of Computational Physics

ISSN-L0021-9991

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jcp.2004.07.009

openalex_workW2010897718

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