A numerical scheme using excursion theory for simulating stochastic differential equations with reflection and local time at a boundary
Research output: Contribution to journal › Article › Research › peer-review
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A numerical scheme using excursion theory for simulating
stochastic differential equations with reflection and local
time at a boundary. / Hausenblas, Erika.
In: Monte Carlo Methods Appl., 2000.
In: Monte Carlo Methods Appl., 2000.
Research output: Contribution to journal › Article › Research › peer-review
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Hausenblas E. A numerical scheme using excursion theory for simulating
stochastic differential equations with reflection and local
time at a boundary. Monte Carlo Methods Appl. 2000. doi: 10.1515/mcma.2000.6.2.81
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Bibtex - Download
@article{ba82d0d21aa74fda828cf1265f684721,
title = "A numerical scheme using excursion theory for simulating stochastic differential equations with reflection and local time at a boundary",
author = "Erika Hausenblas",
year = "2000",
doi = "10.1515/mcma.2000.6.2.81",
language = "Undefined/Unknown",
}
RIS (suitable for import to EndNote) - Download
TY - JOUR
T1 - A numerical scheme using excursion theory for simulating stochastic differential equations with reflection and local time at a boundary
AU - Hausenblas, Erika
PY - 2000
Y1 - 2000
UR - http://dx.doi.org/10.1515/mcma.2000.6.2.81
U2 - 10.1515/mcma.2000.6.2.81
DO - 10.1515/mcma.2000.6.2.81
M3 - Article
JO - Monte Carlo Methods Appl.
JF - Monte Carlo Methods Appl.
ER -
