Simulation of stopped diffusions-Reference-Cited by-同舟云学术

Simulation of stopped diffusions

Published:2005-01 Issue:2 Volume:202 Page:446-462
ISSN:0021-9991
Container-title:Journal of Computational Physics
language:en
Short-container-title:Journal of Computational Physics

Author:

Buchmann F.M.

Publisher

Elsevier BV

Subject

Computer Science Applications,Physics and Astronomy (miscellaneous),Applied Mathematics,Computational Mathematics,Modelling and Simulation,Numerical Analysis

Reference24 articles.

1. L.C.G. Rogers, D. Williams, Diffusions, Markov Processes, and Martingales, vol. 1, Cambridge Mathematical Library, Cambridge University Press, Cambridge, 2000. Foundations, Reprint of the second (1994) edition

2. L.C.G. Rogers, D. Williams, Diffusions, Markov Processes, and Martingales, vol. 2, Cambridge Mathematical Library, Cambridge University Press, Cambridge, 2000, Itô calculus, Reprint of the second (1994) edition

3. M. Freidlin, Functional Integration and Partial Differential Equations, Annals of Mathematics Studies, vol. 109, Princeton University Press, Princeton, NJ, 1985

4. N. Madras, Lectures on Monte Carlo methods, Fields Institute Monographs, vol. 16, American Mathematical Society, Providence, RI, 2002

5. P.E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics (New York), vol. 23, Springer, Berlin, 1992

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