A Wiener-Hopf Monte Carlo simulation technique for Lévy processes (2011)

First Author: Kuznetsov A
Attributed to:  L\'evy processes optimal stopping problems and stochastic games funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1214/10-aap746

Publication URI: http://dx.doi.org/10.1214/10-aap746

Type: Journal Article/Review

Parent Publication: The Annals of Applied Probability

Issue: 6