"Brownian meanders, importance sampling and unbiased simulation of ..."

Nan Chen, Zhengyu Huang (2012)

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DOI: 10.1016/J.ORL.2012.09.010

access: closed

type: Journal Article

metadata version: 2017-05-27

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Nan Chen, Zhengyu Huang:
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes. Oper. Res. Lett. 40(6): 554-563 (2012)

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