Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Year of publication: |
2023
|
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Authors: | Meier, Christian ; Li, Lingfei ; Zhang, Gongqiu |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 305.2023, 3 (16.3.), p. 1292-1308
|
Subject: | Applied probability | Multidimensional diffusions | Sticky boundary | Markov chain approximation | Monte Carlo simulation | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Simulation | Monte-Carlo-Simulation | Markov-Kette | Markov chain |
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