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epsilon-Strong simulation of the Brownian path

Beskos, A; Peluchetti, S; Roberts, G; (2012) epsilon-Strong simulation of the Brownian path. BERNOULLI , 18 (4) pp. 1223-1248. 10.3150/11-BEJ383.

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Type: Article
Title: epsilon-Strong simulation of the Brownian path
DOI: 10.3150/11-BEJ383
Keywords: Science & Technology, Physical Sciences, Statistics & Probability, Mathematics, STATISTICS & PROBABILITY, Brownian bridge, intersection layer, iterative algorithm, option pricing, pathwise convergence, unbiased sampling, DIFFUSION-PROCESSES, PROBABILITY, TIME
UCL classification: UCL > School of BEAMS
UCL > School of BEAMS > Faculty of Maths and Physical Sciences
URI: http://discovery.ucl.ac.uk/id/eprint/1325568
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