Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Christian Meier, Lingfei Li, Gongqiu Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Meier, Christian ; Li, Lingfei ; Zhang, Gongqiu |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 305.2023, 3 (16.3.), p. 1292-1308
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| Subject: | Applied probability | Multidimensional diffusions | Sticky boundary | Markov chain approximation | Monte Carlo simulation | Markov-Kette | Markov chain | Theorie | Theory | Simulation | Monte-Carlo-Simulation | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.07.038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013498792