An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium-Reference-Cited by-同舟云学术

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An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium

Published:2017-05 Issue: Volume:316 Page:3-14
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Ableidinger M.,Buckwar E.,Thalhammer A.

Funder

Austrian Science Fund (FWF)

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference22 articles.

1. Stochastic Differential Equations: Theory and Applications;Arnold,1974

2. Stochastic Numerics for Mathematical Physics;Milstein,2004

3. Expansion of the global error for numerical schemes solving stochastic differential equations;Talay;Stoch. Anal. Appl.,1990

4. Monte Carlo Methods in Financial Engineering, Vol. 53;Glasserman,2003

5. Stochastic Simulation;Asmussen,2007

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3. Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral;SIAM Journal on Numerical Analysis;2023-07-11

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