Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
Author:
Affiliation:
1. Dipartimento di Matematica e Applicazioni, Università di Napoli Federico II, Monte S. Angelo, 80126 Napoli, Italy
2. Dipartimento di Informatica, Università di Salerno, Via Giovanni Paolo II, n. 132, 84084 Fisciano (SA), Italy
Funder
Dipartimento di Matematica e Applicazioni, Università di Napoli FEDERICO II
Publisher
Informa UK Limited
Subject
Materials Chemistry
Link
https://www.cogentoa.com/article/10.1080/23311835.2017.1354469.pdf
Reference56 articles.
1. A Survey of Recent Progress on Level-Crossing Problems for Random Processes
2. Some comments on conditionally Markov and reciprocal Gaussian processes (Corresp.)
3. One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem
4. Stochastic Simulation: Algorithms and Analysis
5. Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion
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