Adaptive Monte Carlo algorithms for stopped diffusion

Lecture Notes in Computational Science and Engineering

Volumn 44, Issue , 2005, Pages 59-88

  Dzougoutov, Anna ^a   Moon, Kyoung Sook ^b   von Schwerin, Erik ^a   Szepessy, Anders ^a   Tempone, Raúl ^c,d  

^a ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

^b Bldg 142   (United States)

^c UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^d Instituto de Matematica y Estadistica Prof Ing Rafael Laguardia   (Uruguay)

Author keywords

Adaptive mesh refinement algorithm; Barrier option; Diffusion with boundary; Monte Carlo method; Weak approximation

Indexed keywords

ADAPTIVE ALGORITHMS; APPROXIMATION ALGORITHMS; DIFFERENTIAL EQUATIONS; DIFFUSION; ERRORS; NUMERICAL METHODS; STOCHASTIC SYSTEMS;

ADAPTIVE MESH REFINEMENT ALGORITHMS; ADAPTIVE MONTE CARLO ALGORITHMS; BARRIER OPTION; CONDITIONAL PROBABILITIES; DIFFERENCE QUOTIENT; STOCHASTIC DIFFERENTIAL EQUATIONS; TIME DISCRETIZATION; WEAK APPROXIMATION;

MONTE CARLO METHODS;

EID: 84880255490     PISSN: 14397358     EISSN: None     Source Type: Book Series    
DOI: 10.1007/3-540-26444-2_3     Document Type: Article

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