Controlling the Time Discretization Bias for the Supremum of Brownian Motion

Krzysztof Bisewski, Daan Crommelin, Michel Mandjes. Controlling the Time Discretization Bias for the Supremum of Brownian Motion. ACM Trans. Model. Comput. Simul., 28(3), 2018. [doi]

Authors

Krzysztof Bisewski

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Daan Crommelin

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Michel Mandjes

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