Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications
Year of publication: |
2020
|
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Authors: | Cui, Zhenyu |
Other Persons: | Kirkby, Justin (contributor) ; Nguyen, Duy (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Markov-Kette | Markov chain | Theorie | Theory | Stochastischer Prozess | Stochastic process | Simulation | Analysis | Mathematical analysis |
Extent: | 1 Online-Ressource (49 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3665661 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C02 - Mathematical Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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