Simulation of stopped diffusions

Journal of Computational Physics

Volumn 202, Issue 2, 2005, Pages 446-462

  Buchmann, F M ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Dirichlet problems; Monte Carlo simulations; Stochastic differential equations; Stopped diffusions; Weak approximation

Indexed keywords

BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; INTELLIGENT SYSTEMS; MONTE CARLO METHODS; NUMERICAL METHODS; STOCHASTIC SYSTEMS;

DIRICHLET PROBLEM; EXIT TIME; FIRST HITTING TIME; MONTE CARLO'S SIMULATION; NUMERICAL EXPERIMENTS; ONE-DIMENSIONAL; STOCHASTIC DIFFERENTIAL EQUATIONS; STOPPED DIFFUSION; TIME DISTRIBUTION; WEAK APPROXIMATION;

DIFFUSION;

EID: 10244227859     PISSN: 00219991     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jcp.2004.07.009     Document Type: Article

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