Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals

Kees Van Schaik, Albert Ferreiro-Castilla, Kees van Schaik

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	129-148
Number of pages	19
Journal	Journal of Applied Probability
Volume	52
Issue number	1
DOIs	https://doi.org/10.1239/jap/1429282611
Publication status	Published - Mar 2015

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title = "Applying the Wiener-Hopf Monte Carlo simulation technique for L{\'e}vy processes to path functionals",

author = "{Van Schaik}, Kees and Albert Ferreiro-Castilla and {van Schaik}, Kees",

note = "http://arxiv.org/abs/1306.3923",

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