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Simulation of stopped diffusions
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this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,420 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,149 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain89 cited
  • 1999Absorbing boundaries and optimal stopping in a stochastic differential equation58 cited
  • 2002Asymptotics of hitting probabilities for general one-dimensional pinned diffusions38 cited
  • 2000INTRODUCTION TO ITÔ CALCULUS27 cited
  • 1997Weak approximation of a diffusion process in a bounded domain25 cited
  • 2003Solving Dirichlet Problems Numerically Using the Feynman–Kac Representation23 cited

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