Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes

Methodology and Computing in Applied Probability

Volumn 9, Issue 4, 2007, Pages 483-496

  Stramer, Osnat ^a   Yan, Jun ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

Diffusion process; Monte Carlo; Transition density

Indexed keywords

EID: 35148825956     PISSN: 13875841     EISSN: 15737713     Source Type: Journal    
DOI: 10.1007/s11009-006-9006-2     Document Type: Article

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