Approximation of quantiles of components of diffusion processes

Stochastic Processes and their Applications

Volumn 109, Issue 1, 2004, Pages 23-46

  Talay, Denis ^a   Zheng, Ziyu ^a  

^a INRIA   (France)

Author keywords

Euler method; Monte Carlo methods; Simulation; Stochastic differential equations

Indexed keywords

EID: 0242467554     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2003.06.001     Document Type: Article

References (14)

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