Momte carlo simulation of killed diffusion

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1 Citation (Scopus)
Original languageEnglish
Pages (from-to)263-295
Number of pages33
JournalMonte Carlo methods and applications
Volume6.2000
Issue number4
DOIs
Publication statusPublished - Jan 2000
Externally publishedYes

Keywords

  • First exit time
  • Numerical scheime
  • Stochastic analysis
  • Stochastic differential equations

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