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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
Item Type: | Journal Article | ||||||||||||
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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: |
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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 (Creative Commons) | ||||||||||||
Date of first compliant deposit: | 13 November 2020 | ||||||||||||
Date of first compliant Open Access: | 13 November 2020 | ||||||||||||
RIOXX Funder/Project Grant: |
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