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Monte-Carlo Simulations of the First Passage Time for Multivariate Jump-Diffusion Processes in Financial Applications
Di Zhang
Roderick V. N. Melnik
Published in:
CoRR (2007)
Keyphrases
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monte carlo simulation
diffusion processes
markov chain
diffusion process
monte carlo
information diffusion
steady state
denoising
partial differential equations
scale spaces
regression model
anisotropic diffusion
total variation
nonlinear diffusion
image processing
structure tensor