Adaptive weak approximation of reflected and stopped diffusions
Author:
Publisher
Walter de Gruyter GmbH
Subject
Applied Mathematics,Statistics and Probability
Link
https://www.degruyter.com/document/doi/10.1515/mcma.2010.001/pdf
Reference12 articles.
1. Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion
2. A symmetrized Euler scheme for an efficient approximation of reflected diffusions
3. On the LambertW function
4. Numerical Approximation for Functionals of Reflecting Diffusion Processes
5. Multilevel Monte Carlo Path Simulation
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