"Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes."

Hugo de la Cruz, Juan Carlos Jimenez (2020)

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DOI: 10.1016/J.AMC.2019.124734

access: closed

type: Journal Article

metadata version: 2020-02-21

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Hugo de la Cruz, Juan Carlos Jimenez:
Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes. Appl. Math. Comput. 366 (2020)

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