Affine Diffusions and Related Processes: Simulation, Theory and Applications
This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It al...
Wedi'i Gadw mewn:
| Prif Awdur: | |
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| Fformat: | Llyfr |
| Iaith: | English |
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Springer
2015
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| Pynciau: | |
| Mynediad Ar-lein: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57492 |
| Tagiau: |
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