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...
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| Format: | Book |
| Language: | English |
| Published: |
Springer
2015
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| Subjects: | |
| Online Access: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57492 |
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| Institutions: | Thư viện Trường Đại học Đà Lạt |
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