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Some open problems in exact simulation of stochastic differential equations

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  • Jose H. Blanchet

    (Stanford University)

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  • Jose H. Blanchet, 2022. "Some open problems in exact simulation of stochastic differential equations," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 509-511, April.
    • Handle: RePEc:spr:queues:v:100:y:2022:i:3:d:10.1007_s11134-022-09835-x
    DOI: 10.1007/s11134-022-09835-x
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    References listed on IDEAS

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    1. Nan Chen & Zhengyu Huang, 2013. "Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 591-616, August.
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