MetadatenAuthor details: | David DereudreORCiD, Sara MazzonettoORCiDGND, Sylvie RoellyGND |
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URN: | urn:nbn:de:kobv:517-opus4-80613 |
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ISSN: | 2193-6943 |
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Publication series (Volume number): | Preprints des Instituts für Mathematik der Universität Potsdam (4 (2015) 9) |
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Publisher: | Universitätsverlag Potsdam |
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Place of publishing: | Potsdam |
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Publication type: | Preprint |
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Language: | English |
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Year of first publication: | 2015 |
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Publication year: | 2015 |
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Publishing institution: | Universität Potsdam |
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Publishing institution: | Universitätsverlag Potsdam |
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Release date: | 2015/09/10 |
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Tag: | distorted Brownian motion; exact simulation; local time; rejection sampling; semipermeable barriers; skew Brownian motion |
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Volume: | 4 |
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Issue: | 9 |
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Number of pages: | 23 |
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Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |
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DDC classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
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MSC classification: | 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05] |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J35 Transition functions, generators and resolvents [See also 47D03, 47D07] |
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| 65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C20 Models, numerical methods [See also 68U20] |
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| 68-XX COMPUTER SCIENCE (For papers involving machine computations and programs in a specific mathematical area, see Section {04 in that areag 68-00 General reference works (handbooks, dictionaries, bibliographies, etc.) / 68Uxx Computing methodologies and applications / 68U20 Simulation [See also 65Cxx] |
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Collection(s): | Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2015 |
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Publishing method: | Universitätsverlag Potsdam |
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License (German): | Keine öffentliche Lizenz: Unter Urheberrechtsschutz |
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