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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) 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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