Large deviations of conditioned diffusions and applications
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DOI: 10.1016/j.spa.2019.05.002
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- Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
- Paolo Baldi & Lucia Caramellino & Maria Gabriella Iovino, 1999. "Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 293-321, October.
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Keywords
Large deviations; Conditioned diffusions; Exit times;All these keywords.
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