Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

Christian Meier, Lingfei Li, Gongqiu Zhang. Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation. European Journal of Operational Research, 305(3):1292-1308, 2023. [doi]

Authors

Christian Meier

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Lingfei Li

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Gongqiu Zhang

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