Beskos, A and Peluchetti, S and Roberts, G (2012) epsilon-Strong simulation of the Brownian path. BERNOULLI , 18 (4) 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: | Brownian bridge, intersection layer, iterative algorithm, option pricing, pathwise convergence, unbiased sampling |
| UCL classification: | UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science |
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