Quotation Szölgyenyi, Michaela. 2016. A numerical method for multidimensional SDEs with discontinuous drift and degenerate diffusion. 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Stanford, Vereinigte Staaten/USA, 14.08.-19.08.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title A numerical method for multidimensional SDEs with discontinuous drift and degenerate diffusion
Event 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
Year 2016
Date 14.08.-19.08.
Country United States/USA
Location Stanford

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People
Szölgyenyi, Michaela (Former researcher)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1114 Numerical mathematics (Details)
1117 Actuarial mathematics (Details)
1118 Probability theory (Details)
1137 Financial mathematics (Details)
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