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An integral equation for Root’s barrier and the generation of Brownian increments
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Gassiat, Paul, Mijatović, Aleksandar and Oberhauser, Harald (2015) An integral equation for Root’s barrier and the generation of Brownian increments. The Annals of Applied Probability, 25 (4). pp. 2039-2065. doi:10.1214/14-AAP1042
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Official URL: http://dx.doi.org/10.1214/14-AAP1042
| Item Type: | Journal Article | ||||||||||||
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| Subjects: | Q Science > QA Mathematics | ||||||||||||
| Divisions: | Faculty of Science > Statistics | ||||||||||||
| Library of Congress Subject Headings (LCSH): | Brownian motion processes, Probabilities, Integral equations -- Numerical solutions | ||||||||||||
| Journal or Publication Title: | The Annals of Applied Probability | ||||||||||||
| Publisher: | Institute of Mathematical Statistics | ||||||||||||
| ISSN: | 1050-5164 | ||||||||||||
| Official Date: | August 2015 | ||||||||||||
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| Volume: | 25 | ||||||||||||
| Number: | 4 | ||||||||||||
| Page Range: | pp. 2039-2065 | ||||||||||||
| DOI: | 10.1214/14-AAP1042 | ||||||||||||
| Status: | Peer Reviewed | ||||||||||||
| Publication Status: | Published | ||||||||||||
| Access rights to Published version: | Open Access | ||||||||||||
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