"Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth ..."

Gongqiu Zhang, Lingfei Li (2022)

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DOI: 10.1137/21M1440098

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type: Journal Article

metadata version: 2023-08-28

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Gongqiu Zhang, Lingfei Li:
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients. SIAM J. Financial Math. 13(3): 1144-1190 (2022)

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