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Acta Applicandae Mathematicae

Volumn 3, Issue 1, 1985, Pages 23-47

Discretization and simulation of stochastic differential equations

(2) Pardoux, E a,b Talay, D c

a AIX MARSEILLE UNIVERSITY (France)

b INRIA (France)

c INRIA (France)

Author keywords

AMS (MOS) subject classifications (1980): 60H10, 65C05, 65L05, 93E25; Approximation of stochastic differential equations; Monte Carlo method; simulation of diffusion processes

Indexed keywords

EID: 0002503075 PISSN: 01678019 EISSN: 15729036 Source Type: Journal
DOI: 10.1007/BF01438265 Document Type: Article

Times cited : (111)

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