Application of GTH-like algorithm to Markov modulated Brownian motion with jumps-Reference-Cited by-同舟云学术

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Application of GTH-like algorithm to Markov modulated Brownian motion with jumps

Published:2021-09-30 Issue:5 Volume:28 Page:477-491
ISSN:2383-4757
Container-title:Communications for Statistical Applications and Methods
language:en
Short-container-title:CSAM

Author:

Hong Sung-Chul¹,Ahn Soohan¹

Affiliation:

1. Department of Statistics, University of Seoul, Korea

Funder

University of Seoul

Publisher

Communications for Statistical Applications and Methods

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Finance,Modeling and Simulation,Statistics and Probability

Link

http://pdf.medrang.co.kr/CSAM/2021/028/CSAM028-05-477.pdf

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