A symmetrized Euler scheme for an efficient approximation of reflected diffusions
By Mireille Bossy, Emmanuel Gobet, Denis Talay. Journal of Applied Probability, 2004
104 citations recorded by the source corpus.
Subfields: Computational Mechanics, Computational Theory and Mathematics, Numerical Analysis
View Paper: https://www.semanticscholar.org/paper/6bee9c29ec602e149d1a541a39e4b06467546293
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In Computational Mechanics
In Computational Theory and Mathematics
In Numerical Analysis
Citations in the corpus
- Minimum variance importance sampling via Population Monte Carlo (2007, methodology): “metrized Euler approximation can be found in Glasserman (2003) as well as Bally and Talay (1996a,b) and Bossy et al. (2004) .”