Momte Carlo Simulation of killed diffusion

Erika Hausenblas

doi:10.1515/mcma.2000.6.4.263

Momte Carlo Simulation of killed diffusion

Erika Hausenblas

SMBS - University of Salzburg Business School, Sigmund-Haffner-Gasse 18, A-5020 Salzburg, Austria

Research output: Contribution to journal › Article › Research › peer-review

1 Citation (Scopus)

Original language	English
Pages (from-to)	263-295
Number of pages	33
Journal	Monte Carlo methods and applications
Volume	6.2000
Issue number	4
DOIs	https://doi.org/10.1515/mcma.2000.6.4.263
Publication status	Published - Jan 2000
Externally published	Yes

Keywords

First exit time
Numerical scheime
Stochastic analysis
Stochastic differential equations

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10.1515/mcma.2000.6.4.263

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title = "Momte Carlo Simulation of killed diffusion",

keywords = "First exit time, Numerical scheime, Stochastic analysis, Stochastic differential equations",

author = "Erika Hausenblas",

year = "2000",

month = jan,

doi = "10.1515/mcma.2000.6.4.263",

language = "English",

volume = "6.2000",

pages = "263--295",

journal = "Monte Carlo methods and applications",

issn = "0929-9629",

publisher = "de Gruyter",

number = "4",

}

TY - JOUR

T1 - Momte Carlo Simulation of killed diffusion

AU - Hausenblas, Erika

PY - 2000/1

Y1 - 2000/1

KW - First exit time

KW - Numerical scheime

KW - Stochastic analysis

KW - Stochastic differential equations

UR - http://dx.doi.org/10.1515/mcma.2000.6.4.263

U2 - 10.1515/mcma.2000.6.4.263

DO - 10.1515/mcma.2000.6.4.263

M3 - Article

AN - SCOPUS:10244277683

SN - 0929-9629

VL - 6.2000

SP - 263

EP - 295

JO - Monte Carlo methods and applications

JF - Monte Carlo methods and applications

IS - 4

ER -

Momte Carlo Simulation of killed diffusion

Keywords

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