• DocumentCode
    2179287
  • Title

    Monte carlo simulation of diffusions

  • Author

    Glynn, Peter W.

  • Author_Institution
    Dept. of Manage. Sci. & Eng., Stanford Univ., Stanford, CA, USA
  • fYear
    2008
  • fDate
    7-10 Dec. 2008
  • Firstpage
    556
  • Lastpage
    559
  • Abstract
    This tutorial is intended to provide an overview of the key algorithms that are used to simulate sample paths of diffusion processes, as well as to offer an understanding of their fundamental approximation properties.
  • Keywords
    Monte Carlo methods; diffusion; Monte Carlo simulation; approximation properties; diffusion processes; Approximation algorithms; Differential equations; Diffusion processes; Engineering management; Finance; Integral equations; Mathematical model; Random variables; State-space methods; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference, 2008. WSC 2008. Winter
  • Conference_Location
    Austin, TX
  • Print_ISBN
    978-1-4244-2707-9
  • Electronic_ISBN
    978-1-4244-2708-6
  • Type

    conf

  • DOI
    10.1109/WSC.2008.4736113
  • Filename
    4736113
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2179287