Adaptive weak approximation of reflected and stopped diffusions
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DOI: 10.1515/mcma.2010.001
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References listed on IDEAS
- Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
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- Hajime Kawakami, 2015. "Reconstruction algorithm for unknown cavities via Feynman–Kac type formula," Computational Optimization and Applications, Springer, vol. 61(1), pages 101-133, May.
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