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Absorbing boundaries and optimal stopping in a stochastic differential equation

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References

2016Numerical solution of stochastic differential equations5,001 cited

Cited by

2013Mean Exit Times and the Multilevel Monte Carlo Method42 cited
2007A Gentle Introduction to the Integration of Stochastic Differential Equations38 cited
2007First exit time probability for multidimensional diffusions: A PDE-based approach29 cited
2005Adaptive Monte Carlo Algorithms for Stopped Diffusion23 cited
2008EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS21 cited
2004Simulation of stopped diffusions19 cited

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