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A Factorisation of Diffusion Measure and Finite Sample Path Constructions · Study

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ArticleA Factorisation of Diffusion Measure and Finite Sample Path Constructions

Alexandros Beskos2008

Article2008

A Factorisation of Diffusion Measure and Finite Sample Path Constructions

Alexandros Beskos · Omiros Papaspiliopoulos · Gareth O. Roberts

99 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Markov Chains and Monte Carlo Methods

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2016Numerical solution of stochastic differential equations 1979The joint density of the maximum and its location for a Wiener process with drift 1995Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion

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2013Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations 2012EXACT SIMULATION OF THE 3/2 MODEL 2015On the exact and $\varepsilon$-strong simulation of (jump) diffusions 2019Exact Simulation of the First-Passage Time of Diffusions 2022Balancing Gender Bias in Job Advertisements With Text-Level Bias Mitigation

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Year2008

Typearticle

Published2008-02-13

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations99

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11009-007-9060-4

openalex_workW2086676546

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