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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 ISSN 1050-5164.

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Official URL: http://dx.doi.org/10.1214/14-AAP1042

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Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science, Engineering and Medicine > 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
Dates:
DateEvent
August 2015Published
21 May 2015Available
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 (Creative Commons)
Date of first compliant deposit: 13 November 2020
Date of first compliant Open Access: 13 November 2020
RIOXX Funder/Project Grant:
Project/Grant IDRIOXX Funder NameFunder ID
258237European Research Councilhttp://dx.doi.org/10.13039/501100000781
GRO/1151787 STPAlexander von Humboldt-Stiftunghttp://dx.doi.org/10.13039/100005156
291244European Research Councilhttp://dx.doi.org/10.13039/501100000781
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