搜索结果: 1-2 共查到“Discretization Error”相关记录2条 . 查询时间(0.058 秒)
Discretization Error in Simulation of One-dimensional Reflecting Brownian Motion
Discretization Error Simulation One-dimensional Reflecting Brownian Motion
2015/7/8
This paper is concerned with various aspects of the simulation of one-dimensional reflected (or regulated) Brownian motion. The main result shows that the discretization error associated with the Eule...
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization...