Simulation of the asymptotic constant in some fluid models

Stochastic Models

Volumn 19, Issue 3, 2003, Pages 407-423

  Dȩbicki, Krzvsztof ^a   Michna, Zbigniew ^b   Rolski, Tomasz ^a  

^a UNIVERSITY OF WROC AW   (Poland)

^b WROCLAW UNIVERSITY OF ECONOMICS   (Poland)

Author keywords

Asymptotic constant; Change of measure; Gauss Markov process; Generalized Pickands constant; Importance sampling; Ornstein Uhlenbeck process; Simulation

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; MARKOV PROCESSES; SAMPLING; SET THEORY; THEOREM PROVING;

ASYMPTOTIC CONSTANTS;

BROWNIAN MOVEMENT;

EID: 0042919452     PISSN: 15326349     EISSN: None     Source Type: Journal    
DOI: 10.1081/STM-120023567     Document Type: Article

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